Semiparametric Estimation of the Optimal Reserve Price in First-Price Auctions
AbstractThe optimal reserve price in the independent private value paradigm is generally expressed as a functional of the latent distribution of private signals, which is by nature unobserved. This feature has limited the implementation of the optimal reserve price in practice. In this article, we consider first-price auctions within the general affiliated private values paradigm. We show that the seller's expected profit can be written as a functional of the observed bid distribution. We propose a semiparametric extremum estimator for estimating consistently the optimal reserve price from observed bids. As an illustration, we consider the Outer Continental Shelf (OCS) wildcat auctions.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 21 (2003)
Issue (Month): 1 (January)
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- Marmer, Vadim & Shneyerov, Artyom, 2008.
"Quantile-Based Nonparametric Inference for First-Price Auctions,"
Microeconomics.ca working papers
marmer-08-01-17-12-16-12, Vancouver School of Economics, revised 16 May 2013.
- Marmer, Vadim & Shneyerov, Artyom, 2012. "Quantile-based nonparametric inference for first-price auctions," Journal of Econometrics, Elsevier, vol. 167(2), pages 345-357.
- Marmer, Vadim & Shneyerov, Artyom, 2006. "Quantile-Based Nonparametric Inference for First-Price Auctions," MPRA Paper 5899, University Library of Munich, Germany, revised 02 Mar 2006.
- Daniel J. Henderson & John A. List & Daniel L. Millimet & Christopher F. Parmeter & Michael K. Price, 2011.
"Empirical Implementation of Nonparametric First-Price Auction Models,"
NBER Working Papers
17095, National Bureau of Economic Research, Inc.
- Henderson, Daniel J. & List, John A. & Millimet, Daniel L. & Parmeter, Christopher F. & Price, Michael K., 2012. "Empirical implementation of nonparametric first-price auction models," Journal of Econometrics, Elsevier, vol. 168(1), pages 17-28.
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