IDEAS home Printed from https://ideas.repec.org/p/cor/louvco/1998031.html
   My bibliography  Save this paper

A Bayesian approach to the econometrics of first-price auctions

Author

Listed:
  • ALBANO, Gian Luigi

    (Center for Operations Research and Econometrics (CORE), Université catholique de Louvain (UCL), Louvain la Neuve, Belgium)

  • JOUNEAU, Fréféric

    (GREMARS, Université de Lille 3 and Center for Operations Research and Econometrics (CORE), Université catholique de Louvain (UCL), Louvain la Neuve, Belgium)

Abstract

We propose a Bayesian approach to empirical auction models. We argue that the Bayesian paradigm is more suitable to the study of empirical strategic models than its frequentist counterpart. We perform an estimation of our model on an auction of hand-made miniature sculptures organized by Christie's in London.

Suggested Citation

  • ALBANO, Gian Luigi & JOUNEAU, Fréféric, 1998. "A Bayesian approach to the econometrics of first-price auctions," LIDAM Discussion Papers CORE 1998031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:1998031
    as

    Download full text from publisher

    File URL: https://sites.uclouvain.be/core/publications/coredp/coredp1998.html
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Paarsch, Harry J., 1992. "Deciding between the common and private value paradigms in empirical models of auctions," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 191-215.
    2. A. C. Atkinson, 1979. "The Computer Generation of Poisson Random Variables," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 28(1), pages 29-35, March.
    3. William Vickrey, 1961. "Counterspeculation, Auctions, And Competitive Sealed Tenders," Journal of Finance, American Finance Association, vol. 16(1), pages 8-37, March.
    4. Riley, John G & Samuelson, William F, 1981. "Optimal Auctions," American Economic Review, American Economic Association, vol. 71(3), pages 381-392, June.
    5. Robert B. Wilson, 2021. "Strategic Analysis of Auctions," Econometrica, Econometric Society, vol. 89(2), pages 555-561, March.
    6. McAfee, R Preston & McMillan, John, 1987. "Auctions and Bidding," Journal of Economic Literature, American Economic Association, vol. 25(2), pages 699-738, June.
    7. Martin Pesendorfer, 2000. "A Study of Collusion in First-Price Auctions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 67(3), pages 381-411.
    8. Bikhchandani, Sushil, 1988. "Reputation in repeated second-price auctions," Journal of Economic Theory, Elsevier, vol. 46(1), pages 97-119, October.
    9. W. R. Gilks & P. Wild, 1992. "Adaptive Rejection Sampling for Gibbs Sampling," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 41(2), pages 337-348, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. JOUNEAU-SION, Frédéric & TORRES, Olivier, 2000. "Auctions with discrete increments: a structural econometric approach based on dominated strategies," LIDAM Discussion Papers CORE 2000046, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hon-Snir, Shlomit & Monderer, Dov & Sela, Aner, 1998. "A Learning Approach to Auctions," Journal of Economic Theory, Elsevier, vol. 82(1), pages 65-88, September.
    2. Jean-Jacques Laffont, 1998. "Théorie des jeux et économie empirique : le cas des données issues d'enchères," Économie et Prévision, Programme National Persée, vol. 132(1), pages 121-137.
    3. Lorentziadis, Panos L., 2016. "Optimal bidding in auctions from a game theory perspective," European Journal of Operational Research, Elsevier, vol. 248(2), pages 347-371.
    4. Hailu, Atakelty & Schilizzi, Steven, 2003. "Investigating the performance of market-based instruments for resource conservation: the contribution of agent-based modelling," 2003 Conference (47th), February 12-14, 2003, Fremantle, Australia 57883, Australian Agricultural and Resource Economics Society.
    5. Paarsch, Harry J., 1997. "Deriving an estimate of the optimal reserve price: An application to British Columbian timber sales," Journal of Econometrics, Elsevier, vol. 78(2), pages 333-357, June.
    6. Roberto Burguet, 2000. "Auction theory: a guided tour," Investigaciones Economicas, Fundación SEPI, vol. 24(1), pages 3-50, January.
    7. Susan Athey & Philip A. Haile, 2006. "Empirical Models of Auctions," NBER Working Papers 12126, National Bureau of Economic Research, Inc.
    8. David Lucking-Reiley, 1999. "Using Field Experiments to Test Equivalence between Auction Formats: Magic on the Internet," American Economic Review, American Economic Association, vol. 89(5), pages 1063-1080, December.
    9. Boeheim, Rene & Zulehner, Christine, 1996. "Auctions - A Survey," Economics Series 39, Institute for Advanced Studies.
    10. Thomas D. Jeitschko, 1998. "Learning in Sequential Auctions," Southern Economic Journal, John Wiley & Sons, vol. 65(1), pages 98-112, July.
    11. Jinpeng Ma, 1997. "English Auctions and Walrasian Equilibria with Multiple Objects: a dynamic approach," Departmental Working Papers 199702, Rutgers University, Department of Economics.
    12. William W. Wilson & Bruce L. Dahl, 2004. "Transparency and Bidding Competition in International Wheat Trade," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 52(1), pages 89-105, March.
    13. Jacob K. Goeree & Theo Offerman, 2003. "Competitive Bidding in Auctions with Private and Common Values," Economic Journal, Royal Economic Society, vol. 113(489), pages 598-613, July.
    14. Philip A. Haile & Elie Tamer, 2003. "Inference with an Incomplete Model of English Auctions," Journal of Political Economy, University of Chicago Press, vol. 111(1), pages 1-51, February.
    15. Krishna, Vijay & Morgan, John, 1997. "An Analysis of the War of Attrition and the All-Pay Auction," Journal of Economic Theory, Elsevier, vol. 72(2), pages 343-362, February.
    16. Vincent P. Crawford & Nagore Iriberri, 2007. "Level-k Auctions: Can a Nonequilibrium Model of Strategic Thinking Explain the Winner's Curse and Overbidding in Private-Value Auctions?," Econometrica, Econometric Society, vol. 75(6), pages 1721-1770, November.
    17. Paul Klemperer, 2007. "Bidding Markets," Journal of Competition Law and Economics, Oxford University Press, vol. 3(1), pages 1-47.
    18. Scott Fay, 2004. "Partial-Repeat-Bidding in the Name-Your-Own-Price Channel," Marketing Science, INFORMS, vol. 23(3), pages 407-418, February.
    19. Moresi, Serge, 2000. "Information acquisition and research differentiation prior to an open-bid auction1," International Journal of Industrial Organization, Elsevier, vol. 18(5), pages 723-746, July.
    20. Susan Athey & Philip A. Haile, 2002. "Identification of Standard Auction Models," Econometrica, Econometric Society, vol. 70(6), pages 2107-2140, November.

    More about this item

    Keywords

    first-price auction; private values; Bayesian inference; Gibbs sampling.;
    All these keywords.

    JEL classification:

    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cor:louvco:1998031. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alain GILLIS (email available below). General contact details of provider: https://edirc.repec.org/data/coreebe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.