Estimation of a Dynamic Auction Game

By M. Jofre-Bonet, Martin Pesendorfer. 2003

413 citations recorded by the source corpus.

This paper proposes an estimation method for a repeated auction game under the presence of capacity contraints. The estimation strategy is computationally simple as it does not require solving for the equilibrium of the game. It uses a two stage approach. In the first stage the distribution of bids conditional on state variables is estimated using data on bids, bidder characteristics and contract characteristics. In the second stage, an expression of the expected sum of future profits based on the distribution of bids is obtained, and costs are inferred based on the first order condition of optimal bids. We apply the estimation method to repeated highway construction procurement auctions in the state of California between May 1996 and May 1999. In this market, previously won uncompleted contracts reduce the probability of winning further contracts. We quantify the effect of intertemporal constraints on bidders' costs and on bids. Due to the intertemporal effect and also to bidder asymmetry, the auction can be inefficient. Based on the estimates of costs, we quantify efficiency losses.

Subfields: Management Information Systems, Management Science and Operations Research, Marketing

View Paper: https://www.semanticscholar.org/paper/ba3ac8e2eb5ba12a289651aa5aac3f1a69d7e20c

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Citations in the corpus

Detecting Bidders Groups in Collusive Auctions (2016, background): “The positive sign appearing in column (8) is the opposite of what capacity constrained firms should show (and of what Jofre-Bonet and Pesendorfer (2003) find in their data).”
Bidding for Incomplete Contracts: An Empirical Analysis (2006, methodology): “See for instance, Paarsch (1992), Donald and Paarsch (1993), Guerre, Perrigne and Vuong (2000), Campo et al. (2002), Pesendorfer and Jofre-Bonet (2003), and Athey, Levin and Seira (2004).”
A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators (2012, background): “…estimate rich, often dynamic, structural models (Hotz and Miller, 1993; Hotz et al., 1994; Olley & Pakes, 1996; Aguirregabiria & Mira, 2002, 2007; Jofre-Bonet & Pesendorfer, 2003; Bajari, Benkard, & Levin, 2007; Pakes, Ostrovsky, & Berry, 2007; Pesendorfer & Schmidt-Dengler, 2008; Bajari, Hong,…”
Identification and Estimation in Highway Procurement Auctions Under Unobserved Auction Heterogeneity (2004, neutral): “Comparison to the alternative auction models Figures 4d and 5d compare the expected bid function to the bid function recovered under the APV and IPV models respectively.(19) Both the IPV and APV procedures estimate total costs that are substantially lower than the cost estimated under the unobserved”
Bayesian likelihood methods for estimating the end point of a distribution (2005, background): “…variables Vi, say, are available in addition to the ‘responses’ Xi, the density f at expression (1.1) might depend on Vi. (For problems of this general type, see, for example, Donald and Paarsch (1993), Hirano and Porter (2003), Jofre-Bonet and Pesendorfer (2003) and Chernozhukov and Hong (2004).)”
Dynamic Discrete Choice Structural Models: A Survey (2010, neutral): “(43) This estimator has a closed form expression.”
Estimating Dynamic Models of Imperfect Competition (2004, positive): “Our estimator and proof of consistency closely resemble Manski and Tamer (2002) and Haile and Tamer (2003).”
Convergence Properties of the Likelihood of Computed Dynamic Models (2005, neutral): “Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte.”
Asymptotic Least Squares Estimators for Dynamic Games (2008, methodology): “Jofre-Bonet and Pesendorfer (2003) consider a continuous choice dynamic pricing model in which the equilibrium equation system is linear in the cost parameters of interest.”
Combination Bidding in Multi-Unit Auctions (2007, background): “Proposition 4 then follows from (15), claims 1 and 2, and the fact that det∇G < 0.”