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Essays on auctions.
~
Lu, Jingfeng.
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Essays on auctions.
紀錄類型:
書目-電子資源 : Monograph/item
正題名/作者:
Essays on auctions./
作者:
Lu, Jingfeng.
面頁冊數:
244 p.
附註:
Source: Dissertation Abstracts International, Volume: 65-09, Section: A, page: 3511.
Contained By:
Dissertation Abstracts International65-09A.
標題:
Economics, Theory. -
電子資源:
http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3145240
ISBN:
0496047795
Essays on auctions.
Lu, Jingfeng.
Essays on auctions.
- 244 p.
Source: Dissertation Abstracts International, Volume: 65-09, Section: A, page: 3511.
Thesis (Ph.D.)--University of Southern California, 2004.
This dissertation consists of five chapters. Chapter 1 is a general introduction. Chapter 2 addresses the identification and estimation of the stochastic private value model for first-price sealed-bid auctions. Under a constant absolute risk aversion specification for the bidders' utility function, the model is semiparametrically identified from the winner's ex post private value and the winning bid. The suggested semiparametric estimator for the risk aversion parameter and the risk premium converges at the parametric rate. A Monte Carlo study confirms its small sample good behavior. Chapter 3 applies the structural approach in empirical auction to consider the nonparametric identification and estimation of the bidders' utility function when both ascending auction and first-price sealed-bid auction data are available for the same auctioned object. The suggested method is applied to the USFS timber auctions data. Chapter 4 considers the optimal auction design when potential bidders have the same known positive opportunity cost of bidding. I show that a modified Vickrey auction with a uniform reserve price and a uniform participation subsidy is the optimal symmetric-shutdown mechanism under the usual regularity conditions. I find that if the bidders' private values are heavily distributed near the highest value, the overall optimal auction mechanism must be discriminatory, in the sense of implementing asymmetric shutdown across bidders. Chapter 5 studies the auction design when bidders have a private participation cost in addition to a private value. The contribution of this paper is 2-fold. First, all implementable shutdown curves by ex post semi-efficient auctions are described by a nonlinear ordinary differential equation. Second, under the usual regularity condition on the bidders' private values distribution, I find that a modified Vickrey auction with a uniform reserve price and a uniform participation subsidy is the optimal ex post semi-efficient auction. The optimal reserve price and participation subsidy are set by the position of the lower end of the optimal shutdown curve.
ISBN: 0496047795Subjects--Topical Terms:
1017575
Economics, Theory.
Essays on auctions.
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This dissertation consists of five chapters. Chapter 1 is a general introduction. Chapter 2 addresses the identification and estimation of the stochastic private value model for first-price sealed-bid auctions. Under a constant absolute risk aversion specification for the bidders' utility function, the model is semiparametrically identified from the winner's ex post private value and the winning bid. The suggested semiparametric estimator for the risk aversion parameter and the risk premium converges at the parametric rate. A Monte Carlo study confirms its small sample good behavior. Chapter 3 applies the structural approach in empirical auction to consider the nonparametric identification and estimation of the bidders' utility function when both ascending auction and first-price sealed-bid auction data are available for the same auctioned object. The suggested method is applied to the USFS timber auctions data. Chapter 4 considers the optimal auction design when potential bidders have the same known positive opportunity cost of bidding. I show that a modified Vickrey auction with a uniform reserve price and a uniform participation subsidy is the optimal symmetric-shutdown mechanism under the usual regularity conditions. I find that if the bidders' private values are heavily distributed near the highest value, the overall optimal auction mechanism must be discriminatory, in the sense of implementing asymmetric shutdown across bidders. Chapter 5 studies the auction design when bidders have a private participation cost in addition to a private value. The contribution of this paper is 2-fold. First, all implementable shutdown curves by ex post semi-efficient auctions are described by a nonlinear ordinary differential equation. Second, under the usual regularity condition on the bidders' private values distribution, I find that a modified Vickrey auction with a uniform reserve price and a uniform participation subsidy is the optimal ex post semi-efficient auction. The optimal reserve price and participation subsidy are set by the position of the lower end of the optimal shutdown curve.
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http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3145240
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