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A semiparametric varying coefficient model of monotone auction bidding processes

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  • Wenchuan Liu
  • Yu Zhang
  • Qi Li

Abstract

We propose an econometric model of the price processes of online auctions. Since auction bids monotonically increase within individual auctions but can differ considerably across auctions, we construct a monotone series estimator with a common relative price growth curve and auction-specific slopes. Furthermore, because the impacts of auction-specific attributes may evolve along the course of auctions, we employ a varying coefficient approach to accommodate these possibly time-varying effects. We present an algorithm to solve the proposed partially linear panel model with a nonparametric monotone component. We apply the proposed model to eBay auctions of a Palm personal digital assistant. The estimates capture closely the overall pattern of online auction price processes, in particular, the bidding drought midway through auctions and the bid acceleration associated with bid sniping (last-minute bidding) at the end of auctions. Copyright Springer-Verlag Berlin Heidelberg 2015

Suggested Citation

  • 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.
    • Handle: RePEc:spr:empeco:v:48:y:2015:i:1:p:313-335
    DOI: 10.1007/s00181-014-0857-z
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    References listed on IDEAS

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    Cited by:

    1. Zhang, Yu Yvette, 2017. "A shape constrained estimator of bidding function of first-price sealed-bid auctions," Economics Letters, Elsevier, vol. 150(C), pages 67-72.

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