A Point Decision For Partially Identified Auction Models
AbstractThis paper proposes a decision theoretic method to choose a single reserve price for partially identified auction models, such as Haile and Tamer, 2003, using data on transaction prices from English auctions. The paper employs Gilboa and Schmeidler, 1989 for inference that is robust with respect to the prior over unidentified parameters. It is optimal to interpret the transaction price as the highest value, and maximize the posterior mean of the seller’s revenue. The Monte Carlo study shows substantial gains relative to the average revenues of the Haile and Tamer interval.
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Bibliographic InfoPaper provided by Australian National University, College of Business and Economics, School of Economics in its series ANU Working Papers in Economics and Econometrics with number 2012-569.
Length: 23 Pages
Date of creation: Jan 2012
Date of revision:
Other versions of this item:
- Gaurab Aryal & Dong-Hyuk Kim, 2013. "A Point Decision for Partially Identified Auction Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(4), pages 384-397, October.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
- E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-20 (All new papers)
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- Epstein, Larry G. & Halevy, Yoram, 2014. "No Two Experiments are Identical," Microeconomics.ca working papers yoram_halevy-2014-9, Vancouver School of Economics, revised 04 Aug 2014.
- Kim, Dong-Hyuk, 2013. "Optimal choice of a reserve price under uncertainty," International Journal of Industrial Organization, Elsevier, vol. 31(5), pages 587-602.
- Epstein, Larry G. & Seo, Kyoungwon, 2014.
"De Finetti meets Ellsberg,"
Research in Economics,
Elsevier, vol. 68(1), pages 11-26.
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