Empirical Analysis of Auctions

由于拍卖是主导现代经济理论的博弈论分析最令人信服的市场机构之一，拍卖数据为评估建模方法和评估理论预测的战略行为在实践中的重要性提供了重要机会。拍卖在公共资源配置中也发挥着越来越重要的作用，因此，有效配置和创收的目标为理解拍卖提供了强大的政策动机。该项目由四个部分组成，它们通过对拍卖市场进行实证研究和开发新的拍卖分析统计工具来促进这一理解。第一部分涉及卖方使用保留价的拍卖中的需求估计。通过利用卖方估值异质性导致的储备价格变化，可以一致地估计表征标准拍卖需求的完整分布-广泛政策模拟所需的模型原语。这是在没有参数分布假设的情况下完成的。第二个部分解决了从英国拍卖中的出价得出的推论，在这些出价中，投标人可能是不对称的或具有相关的估值。这也允许投标人，而不是计量经济学家，观察到一个共同因素改变他们的私人价值-这是应用中的常见情况。第三部分对第一价格拍卖中的常见价值进行非参数检验。利用拍卖计量经济学的最新进展，我们展示了如何利用投标人数量的变化来检验赢家诅咒的存在，从而检验共同的价值。第四个也是最后一个项目研究了一个在线拍卖市场，许多买家和卖家交易同一件物品。它论述了拍卖规则、卖方声誉和其他拍卖特征对投标人参与和出价的影响。对套利行为进行了记录，并研究了欺诈性卖家行为的流行程度和预测因素。

Because auctions are among the market institutions most convincingly captured by the kind of game theoretic analysis that dominates modern economic theory, auction data provide important opportunities to evaluate modeling approaches and assess the importance in practice of strategic behavior predicted by theory. Auctions also play an increasingly important role in the allocation of public resources, so goals of efficient allocation and revenue generation provide strong policy motivations for understanding auctions. This project consists of four components that contribute to this understanding through empirical studies of auction markets and development of new statistical tools for analysis of auctions. The first component addresses estimation of demand at auctions in which sellers use reserve prices. By exploiting variation in the reserve prices that results from heterogeneity in seller valuations, one can consistently estimate the full distribution characterizing demand at standard auctions---the model primitive needed for a wide range of policy simulations. This is done without parametric distributional assumptions.The second component addresses inference from bids at English auctions in which bidders may be asymmetric or have correlated valuations. This allows also environments in which bidders, but not the econometrician, observe a common factor shifting their private values---a common situation in applications. The third component develops nonparametric tests for common values at first-price auctions. Exploiting recent advancements in the econometrics of auctions, we show how one can use variation in the number of bidders to test for the presence of the winner's curse and, therefore, common values. The fourth and final project studies an online auction market with many buyers and sellers trading a homogeneous object. It addresses the effects of auction rules, seller reputation and other auction characteristics on bidder participation and bids. Arbitrage behavior is documented, and the prevalence and predictors of fraudulent seller behavior are studied.