David Benatia (CREST-ENSAE) - Functional econometrics of multi-unit auctions: An application to the New York electricity market
This paper proposes a novel approach for the empirical analysis of multi-unit auctions, to which participants submit supply or demand functions observable by the researcher. The approach allows for the evaluation of firm-level market power in a private information setting, and avoids having to model the market mechanism. It relies on econometric methods that treat the observed bid functions as function-valued random elements. Notably, a functional instrumental variable estimator is developed. Read more [...]
