✦ LIBER ✦

Econometrics of auctions by least squares

✍ Scribed by Leonardo Rezende

Publisher: John Wiley and Sons
Year: 2008
Tongue: English
Weight: 188 KB
Volume: 23
Category: Article
ISSN: 0883-7252
DOI: 10.1002/jae.1036

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✦ Synopsis

Abstract

I investigate using the method of ordinary least squares (OLS) on auction data. I find that for parameterizations of the valuation distribution that are common in empirical practice, an adaptation of OLS provides unbiased estimators of structural parameters. Under symmetric independent private values, adapted OLS is a specialization of the method of moments strategy of Laffont, Ossard and Vuong (1995). In contrast to their estimator, here simulation is not required, leading to a computationally simpler procedure. The paper also discusses using estimation results for inference on the shape of the valuation distribution, and applicability outside the symmetric independent private values framework. Copyright © 2008 John Wiley & Sons, Ltd.

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