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Bayesian estimation approaches to first-price auctions

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Bayesian estimation approaches to first-price auctions. / Kumbhakar, Subal C.; Parmeter, Christopher F.; Tsionas, Michael.
In: Journal of Econometrics, Vol. 168, No. 1, 05.2012, p. 47-59.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Kumbhakar, SC, Parmeter, CF & Tsionas, M 2012, 'Bayesian estimation approaches to first-price auctions', Journal of Econometrics, vol. 168, no. 1, pp. 47-59. https://doi.org/10.1016/j.jeconom.2011.09.005

APA

Kumbhakar, S. C., Parmeter, C. F., & Tsionas, M. (2012). Bayesian estimation approaches to first-price auctions. Journal of Econometrics, 168(1), 47-59. https://doi.org/10.1016/j.jeconom.2011.09.005

Vancouver

Kumbhakar SC, Parmeter CF, Tsionas M. Bayesian estimation approaches to first-price auctions. Journal of Econometrics. 2012 May;168(1):47-59. doi: 10.1016/j.jeconom.2011.09.005

Author

Kumbhakar, Subal C. ; Parmeter, Christopher F. ; Tsionas, Michael. / Bayesian estimation approaches to first-price auctions. In: Journal of Econometrics. 2012 ; Vol. 168, No. 1. pp. 47-59.

Bibtex

@article{3838b9298fa0495e983c1ce0beb7cfe0,
title = "Bayesian estimation approaches to first-price auctions",
abstract = "This paper considers Bayesian estimation strategies for first-price auctions within the independent private value paradigm. We develop an {\textquoteleft}optimization{\textquoteright} 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.",
keywords = "Posterior distribution, Bidding strategy, Markov chain Monte Carlo, Stochastic frontier, Gibbs sampling",
author = "Kumbhakar, {Subal C.} and Parmeter, {Christopher F.} and Michael Tsionas",
year = "2012",
month = may,
doi = "10.1016/j.jeconom.2011.09.005",
language = "English",
volume = "168",
pages = "47--59",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier BV",
number = "1",

}

RIS

TY - JOUR

T1 - Bayesian estimation approaches to first-price auctions

AU - Kumbhakar, Subal C.

AU - Parmeter, Christopher F.

AU - Tsionas, Michael

PY - 2012/5

Y1 - 2012/5

N2 - 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.

AB - 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.

KW - Posterior distribution

KW - Bidding strategy

KW - Markov chain Monte Carlo

KW - Stochastic frontier

KW - Gibbs sampling

U2 - 10.1016/j.jeconom.2011.09.005

DO - 10.1016/j.jeconom.2011.09.005

M3 - Journal article

VL - 168

SP - 47

EP - 59

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -