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A Point Decision For Partially Identified Auction Models

Listed author(s):
  • Gaurab Aryal


  • Dong-Hyuk Kim


This 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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Paper 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.

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Length: 23 Pages
Date of creation: Jan 2012
Handle: RePEc:acb:cbeeco:2012-569
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