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Nonparametric identification and estimation of the generalized second-price auction

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  • Shakhgildyan, Ksenia

Abstract

In this paper, I establish the identification and present a nonparametric estimator for the incomplete information generalized second-price auction model. I recover the distribution of the bidders' quality-adjusted valuations from the CDF of the adjusted bids, win outcomes, and click-through rates. Through the Monte Carlo simulations, I evaluate the finite-sample performance of the proposed estimator. Additionally, I compare the estimator of the incomplete information model to the estimator of the misspecified model assuming that adjusted bids are the result of the bidding according to the locally envy-free equilibrium of complete information model.

Suggested Citation

  • Shakhgildyan, Ksenia, 2025. "Nonparametric identification and estimation of the generalized second-price auction," Games and Economic Behavior, Elsevier, vol. 150(C), pages 480-500.
    • Handle: RePEc:eee:gamebe:v:150:y:2025:i:c:p:480-500
    DOI: 10.1016/j.geb.2025.02.005
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    References listed on IDEAS

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    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. Francesco Decarolis & Maris Goldmanis & Antonio Penta & Ksenia Shakhgildyan, 2023. "Bid Coordination in Sponsored Search Auctions: Detection Methodology and Empirical Analysis," Journal of Industrial Economics, Wiley Blackwell, vol. 71(2), pages 570-592, June.
    3. Elodie Guerre & I. Perrigne & Q.H. Vuong, 2000. "Optimal nonparametric estimation of first-price auctions [[Estimation nonparamétrique optimale des enchères au premier prix]]," Post-Print hal-02697497, HAL.
    4. Francesco Decarolis & Gabriele Rovigatti, 2021. "From Mad Men to Maths Men: Concentration and Buyer Power in Online Advertising," American Economic Review, American Economic Association, vol. 111(10), pages 3299-3327, October.
    5. Liran Einav & Chiara Farronato & Jonathan Levin & Neel Sundaresan, 2018. "Auctions versus Posted Prices in Online Markets," Journal of Political Economy, University of Chicago Press, vol. 126(1), pages 178-215.
    6. Francesco Decarolis & Maris Goldmanis & Antonio Penta, 2020. "Marketing Agencies and Collusive Bidding in Online Ad Auctions," Management Science, INFORMS, vol. 66(10), pages 4433-4454, October.
    7. Che, Yeon-Koo & Choi, Syngjoo & Kim, Jinwoo, 2017. "An experimental study of sponsored-search auctions," Games and Economic Behavior, Elsevier, vol. 102(C), pages 20-43.
    8. Tilman B?rgers & Ingemar Cox & Martin Pesendorfer & Vaclav Petricek, 2013. "Equilibrium Bids in Sponsored Search Auctions: Theory and Evidence," American Economic Journal: Microeconomics, American Economic Association, vol. 5(4), pages 163-187, November.
    9. Yangguang Huang & Ming He, 2021. "Structural Analysis Of Tullock Contests With An Application To U.S. House Of Representatives Elections," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(3), pages 1011-1054, August.
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    More about this item

    Keywords

    Generalized second-price auction; Nonparametric identification; Nonparametric estimation; Incomplete information;
    All these keywords.

    JEL classification:

    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • L81 - Industrial Organization - - Industry Studies: Services - - - Retail and Wholesale Trade; e-Commerce
    • M37 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Marketing and Advertising - - - Advertising

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