IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

A shape constrained estimator of bidding function of first-price sealed-bid auctions

Listed author(s):
  • Zhang, Yu Yvette
Registered author(s):

    This paper is concerned with economic analysis of first-price sealed-bid auctions with risk averse bidders. The identification is based on exogenous variations in the number of bidders across auctions. We present a shape constrained estimator of the bidding function, which satisfies the theoretical properties of passing through origin, positivity and monotonicity. The underlying utility function and bidder value distribution are readily obtained from the estimated bidding function. Monte Carlo simulations demonstrate good performance of the proposed estimator.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.sciencedirect.com/science/article/pii/S0165176516304530
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 150 (2017)
    Issue (Month): C ()
    Pages: 67-72

    as
    in new window

    Handle: RePEc:eee:ecolet:v:150:y:2017:i:c:p:67-72
    DOI: 10.1016/j.econlet.2016.11.001
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as
    in new window


    1. Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2000. "Optimal Nonparametric Estimation of First-Price Auctions," Econometrica, Econometric Society, vol. 68(3), pages 525-574, May.
    2. 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.
    3. Maskin, Eric & Riley, John, 2003. "Uniqueness of equilibrium in sealed high-bid auctions," Games and Economic Behavior, Elsevier, vol. 45(2), pages 395-409, November.
    4. Emmanuel Guerre & Isabelle Perrigne & Quang Vuong, 2009. "Nonparametric Identification of Risk Aversion in First-Price Auctions Under Exclusion Restrictions," Econometrica, Econometric Society, vol. 77(4), pages 1193-1227, 07.
    5. Yu Zhang & Jingping Gu & Qi Li, 2011. "Nonparametric panel estimation of online auction price processes," Empirical Economics, Springer, vol. 40(1), pages 51-68, February.
    6. Marmer, Vadim & Shneyerov, Artyom, 2012. "Quantile-based nonparametric inference for first-price auctions," Journal of Econometrics, Elsevier, vol. 167(2), pages 345-357.
    7. Athey, Susan, 2001. "Single Crossing Properties and the Existence of Pure Strategy Equilibria in Games of Incomplete Information," Econometrica, Econometric Society, vol. 69(4), pages 861-889, July.
    8. Wenchuan Liu & Yu Zhang & Qi Li, 2015. "A semiparametric varying coefficient model of monotone auction bidding processes," Empirical Economics, Springer, vol. 48(1), pages 313-335, February.
    9. Jingfeng Lu & Isabelle Perrigne, 2008. "Estimating risk aversion from ascending and sealed-bid auctions: the case of timber auction data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(7), pages 871-896.
    10. Federico Zincenko, 2016. "Nonparametric Estimation of First-Price Auctions with Risk-Averse Bidders," Working Paper 5855, Department of Economics, University of Pittsburgh.
    11. Kim, Dong-Hyuk, 2015. "Nonparametric estimation of utility function in first-price sealed-bid auctions," Economics Letters, Elsevier, vol. 126(C), pages 101-106.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:150:y:2017:i:c:p:67-72. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.