README.md

In auctionr: Estimate First-Price Auction Model

Auction Modeling

auctionr

A package for R to estimate private-value auction models while allowing for unobservable auction-specific heterogeneity.

Installation

# Install auctionr from CRAN
install.packages("auctionr")

# Or the development version from GitHub:
# install.packages("remotes")
# library(remotes)
install_github("ajmack/auctionr", build_vignettes = T)

Getting started

There are two functions available in the package:

• auction_generate_data() allows the user to generate sample data from the principal model used in the package.

• auction_model() calculates maximum likelihood estimates of parameters of the principal model for the data provided by the user.

library(auctionr)

set.seed(100)
dat <- auction_generate_data(obs = 100, mu = 10, alpha = 2, sigma = 0.2,
                             beta = c(-1,1), new_x_mean= c(-1,1), new_x_sd = c(0.5,0.8))

res <- auction_model(dat,
                    init_param =  c(8, 2, .5, .4, .6),
                    num_cores = 1,
                    method = "BFGS",
                    control = list(trace=1, parscale = c(1,0.1,0.1,1,1)),
                    std_err = TRUE)

## initial  value 1339.327262 
## iter  10 value 434.301377
## iter  20 value 410.711195
## final  value 410.710822 
## converged
##

res

## 
## Estimated parameters (SE):                             
##   mu      11.012673 (1.152635)
##   alpha    1.752769 (0.185499)
##   sigma    0.204230 (0.035286)
##   beta[1] -0.920617 (0.057040)
##   beta[2]  1.068096 (0.040026)
## 
## Maximum log-likelihood = -410.711

For further information

Background and details about the model implemented here are available in Mackay, Alexander. 2020. Contract Duration and the Costs of Market Transactions..

auctionr documentation built on July 1, 2020, 7:02 p.m.