Nonparametric inference on counterfactuals in first-price auctions
Fuente:
arXiv
Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2021
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866910658371518464 |
|---|---|
| author | Andreyanov, Pasha Franguridi, Grigory |
| author_facet | Andreyanov, Pasha Franguridi, Grigory |
| contents | In a classical model of the first-price sealed-bid auction with independent private values, we develop nonparametric estimators for several policy-relevant targets, such as the bidder's surplus and auctioneer's revenue under counterfactual reserve prices. Motivated by the linearity of these targets in the quantile function of bidders' values, we propose an estimator of the latter and derive its Bahadur-Kiefer expansion. This makes it possible to construct uniform confidence bands and test complex hypotheses about the auction design. Using the data on U.S. Forest Service timber auctions, we test whether setting zero reserve prices in these auctions was revenue maximizing. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2106_13856 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Nonparametric inference on counterfactuals in first-price auctions Andreyanov, Pasha Franguridi, Grigory Econometrics In a classical model of the first-price sealed-bid auction with independent private values, we develop nonparametric estimators for several policy-relevant targets, such as the bidder's surplus and auctioneer's revenue under counterfactual reserve prices. Motivated by the linearity of these targets in the quantile function of bidders' values, we propose an estimator of the latter and derive its Bahadur-Kiefer expansion. This makes it possible to construct uniform confidence bands and test complex hypotheses about the auction design. Using the data on U.S. Forest Service timber auctions, we test whether setting zero reserve prices in these auctions was revenue maximizing. |
| title | Nonparametric inference on counterfactuals in first-price auctions |
| topic | Econometrics |
| url | https://arxiv.org/abs/2106.13856 |