Semiparametric Quantile Models for Ascending Auctions With Asymmetric Bidders
提出一个简洁灵活的半参数分位数回归模型，用于分析独立私人价值框架下非对称竞拍者的行为，通过木材拍卖数据发现弱势竞拍者获胜概率比强势者低30%，且增加参与度不如设置最优保留价有效。
The paper proposes a parsimonious and flexible semiparametric quantile regression specification for asymmetric bidders within the independent private value framework. Asymmetry is parameterized using powers of a parent private value distribution, which is generated by a quantile regression specification. As noted in Cantillon (2008), this covers and extends models used for efficient collusion, joint bidding and mergers among homogeneous bidders. The specification can be estimated for ascending auctions using the winning bids and the winner’s identity. The estimation is in two stage. The asymmetry parameters are estimated from the winner’s identity using a simple maximum likelihood procedure. The parent quantile regression specification can be estimated using simple modifications of Gimenes (2017). Specification testing procedures are also considered. A timber application reveals that weaker bidders have 30% less chances to win the auction than stronger ones. It is also found that increasing participation in an asymmetric ascending auction may not be as beneficial as using an optimal reserve price as would have been expected from a result of Bulow and Klemperer (1996) valid under symmetry.