Bayesian estimation approaches to first-price auctions

Kumbhakar, Subal C. and Parmeter, Christopher F. and Tsionas, Michael (2012) Bayesian estimation approaches to first-price auctions. Journal of Econometrics, 168 (1). pp. 47-59. ISSN 0304-4076

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Abstract

This paper considers Bayesian estimation strategies for first-price auctions within the independent private value paradigm. We develop an ‘optimization’ error approach that allows for estimation of values assuming that observed bids differ from optimal bids. We further augment this approach by allowing systematic over or underbidding by bidders using ideas from the stochastic frontier literature. We perform a simulation study to showcase the appeal of the method and apply the techniques to timber auction data collected in British Columbia. Our results suggest that significant underbidding is present in the timber auctions.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Econometrics
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2600/2604
Subjects:
ID Code:
65227
Deposited By:
Deposited On:
18 Jun 2013 08:49
Refereed?:
Yes
Published?:
Published
Last Modified:
01 Jan 2020 08:32