Robust Inference in First-price Auctions
Author: Serafin Grundl
Publisher:
Published: 2019
Total Pages:
ISBN-13:
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Inference for First-Price Auctions with Guerre, Perrigne, and Vuong's Estimator
Author: Jun Ma
Publisher:
Published: 2016
Total Pages: 61
ISBN-13:
DOWNLOAD EBOOKIn this paper, we focus on inference on the probability density function (PDF) of the valuations in the first-price sealed-bid auction models within the independent private value paradigm in the presence of auction-specific heterogeneity. We show the asymptotic normality of the two-step nonparametric estimator of Guerre et al. (2000, GPV), and propose an easily implementable and consistent estimator of the asymptotic variance of the two-step estimator. In addition, we prove the validity of the percentile bootstrap inference with the GPV estimator.
Robust Bidding in First-Price Auctions
Author: Bernhard Kasberger
Publisher:
Published: 2020
Total Pages: 65
ISBN-13:
DOWNLOAD EBOOKWe show how to bid in first-price auctions when a bidder knows her own value but not how others will bid. To do this we introduce a novel and general method for how to make choices in strategic settings without assuming common knowledge or equilibrium behavior. Accordingly, first eliminate environments that are believed not to occur and then find a robust rule that performs well in the remaining environments. We test our bid recommendations using data from laboratory experiments and from the field. We find that our bids outperform those made by the real bidders.
Identification and Inference in First-price Auctions with Risk Averse Bidders and Selective Entry
Author: Xiaohong Chen
Publisher:
Published: 2020
Total Pages:
ISBN-13:
DOWNLOAD EBOOKIdentification and Inference in First-Price Auctions with Collusion
Author: Karl Edward Schurter
Publisher:
Published: 2017
Total Pages: 111
ISBN-13: 9780355077759
DOWNLOAD EBOOKThis dissertation develops a method to detect collusion and estimate its effect on the seller's revenue in first-price auctions with independent, private valuations. The challenge is that collusion may be difficult to detect because colluders can use a simple and costless strategy to make their bids appear competitive. If the econometrician observes an exogenous shifter of the level of competition in the auction in addition to the winning bids, a statistical test for collusion by a given bidder can be formulated as a test of independence between the exogenous shifter and the valuations that rationalize its bids under the null hypothesis that it is not colluding. Simulations confirm this test performs well even when colluders attempt to disguise their behavior. I then adopt a multiple hypothesis testing framework to simultaneously test for collusion bidder by bidder. By controlling the probability of making one or more type I errors, the set of rejected hypotheses serves as a lower confidence bound on the set of colluders. To produce a lower confidence bound on the cost of collusion, I use consistent estimates of the bidders' valuation distributions to numerically solve for the seller's expected revenues in auctions with and without collusion. To provide an example of this identification strategy, I use exogenous variation in the reserve prices at British Columbia's timber auctions to estimate the extent of collusion in the years preceding a lumber trade dispute between the United States and Canada.
Quantile-Based Nonparametric Inference for First-Price Auctions
Author: Vadim Marmer
Publisher:
Published: 2010
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKWe propose a quantile-based nonparametric approach to inference on the probability density function (PDF) of the private values in first-price sealed-bid auctions with independent private values. Our method of inference is based on a fully nonparametric kernel-based estimator of the quantiles and PDF of observable bids. Our estimator attains the optimal rate Guerre, Perrigne, and Vuong (2000), and is also asymptotically normal with the appropriate choice of the bandwidth. As an application, we consider the problem of inference on the optimal reserve price.
Sequential Bidding in Asymmetric First Price Auctions
Author: Gal Cohensius
Publisher:
Published: 2014
Total Pages: 31
ISBN-13:
DOWNLOAD EBOOKWe study asymmetric first price auctions in which bidders place their bids sequentially, one after the other and only once. We show that with a strong bidder and a weak bidder (in terms of first order stochastic dominance of their valuations distribution function), when the asymmetry between the bidders is large enough the expected revenue in the sequential bidding first price auction (when the strong bidder bids first) is higher than in the simultaneous bidding first price auction as well as in the second price auction. The expected payoff of the weak bidder is also higher in the sequential first price auction. Therefore a seller interested in increasing revenue facing asymmetric bidders may find it beneficial to order them and let them bid sequentially instead of simultaneously. In terms of efficiency, both the simultaneous first price auction and the sequential first price auction cannot guarantee full efficiency (as opposed to a second price auction which guarantees full efficiency). The sequential bidding auction when the stronger bidder bids first achieves lower efficiency than the simultaneous auction. However, when the order is reversed and bidders are asymmetric enough the sequential first price auction achieves higher efficiency than the simultaneous one.
First-Price and Second-Price Auctions with Externalities
Author: Chulyoung Kim
Publisher:
Published: 2023
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKWe consider a scenario where a single indivisible object is auctioned off to three bidders and among the three bidders there is one bidder whose winning imposes a positive or negative externality on the other two bidders. We theoretically and experimentally compare two standard sealed-bid auction formats, first-price and second-price auctions, under complete information. Using a refinement of undominated Nash equilibria, we analyze equilibrium bids and outcomes in the two auction formats. Our experimental results show that overbidding relative to equilibrium bids is prevalent, especially in second-price auctions, and this leads to higher revenue and lower efficiency in second- price auctions than in first-price auctions, especially under negative externalities. Our results are consistent with previous experimental findings that bidders tend to overbid more in second-price auctions than in first-price auctions, and they suggest that such a tendency is robust to the introduction of externalities.
Panel Data Econometrics
Author: Mike Tsionas
Publisher: Academic Press
Published: 2019-06-20
Total Pages: 1011
ISBN-13: 0128158603
DOWNLOAD EBOOKPanel Data Econometrics: Empirical Applications introduces econometric modelling. Written by experts from diverse disciplines, the volume uses longitudinal datasets to illuminate applications for a variety of fields, such as banking, financial markets, tourism and transportation, auctions, and experimental economics. Contributors emphasize techniques and applications, and they accompany their explanations with case studies, empirical exercises and supplementary code in R. They also address panel data analysis in the context of productivity and efficiency analysis, where some of the most interesting applications and advancements have recently been made. Provides a vast array of empirical applications useful to practitioners from different application environments Accompanied by extensive case studies and empirical exercises Includes empirical chapters accompanied by supplementary code in R, helping researchers replicate findings Represents an accessible resource for diverse industries, including health, transportation, tourism, economic growth, and banking, where researchers are not always econometrics experts
Robust Data-Driven Guarantees in Auctions
Author: Darrell Hoy
Publisher:
Published: 2016
Total Pages: 46
ISBN-13:
DOWNLOAD EBOOKAnalysis of welfare in auctions comes traditionally via one of two approaches: precise but fragile inference of the exact details of a setting from data or robust but coarse theoretical price of anarchy bounds that hold in any setting. As markets get more and more dynamic and bidders become more and more sophisticated, the weaknesses of each approach are magnified.In this paper, we provide tools for analyzing and estimating the empirical price of anarchy of an auction. The empirical price of anarchy is the worst case efficiency loss of any auction that could have produced the data, relative to the optimal. Our techniques are based on inferring simple properties of auctions: primarily the expected revenue and the expected payments and allocation probabilities from possible bids. These quantities alone allow us to empirically estimate the revenue covering parameter of an auction which allows us to re-purpose the theoretical machinery of Hartline et al. [2014] for empirical purposes. Moreover, we show that under general conditions the revenue covering parameter estimated from the data approaches the true parameter with the error decreasing at the rate proportional to the square root of the number of auctions and at most polynomially in the number of agents. While we focus on the setting of position auctions, and particularly the generalized second price auction, our techniques are applicable far more generally. Finally, we apply our techniques to a selection of advertising auctions on Microsoft's Bing and find empirical results that are a significant improvement over the theoretical worst-case bounds.
