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Estimation and inference of seller’s expected revenue in first-price auctions

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  • Zincenko, Federico

Abstract

I propose an estimator for the seller’s expected revenue function in a first-price sealed-bid auction with independent private values and symmetric bidders, who can exhibit constant relative risk aversion and bid according to the Bayesian Nash equilibrium. I build the proposed estimator from pseudo-private values, which can be estimated from observed bids, and show that it is pointwise and uniformly consistent: the corresponding optimal nonparametric rates of convergence can be achieved. Then I construct asymptotically valid confidence intervals and uniform confidence bands. Suggestions for critical values are based on first-order asymptotics, as well as on the bootstrap method.

Suggested Citation

  • Zincenko, Federico, 2024. "Estimation and inference of seller’s expected revenue in first-price auctions," Journal of Econometrics, Elsevier, vol. 241(1).
    • Handle: RePEc:eee:econom:v:241:y:2024:i:1:s0304407624000800
    DOI: 10.1016/j.jeconom.2024.105734
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    More about this item

    Keywords

    First-price auction; Seller’s expected revenue; Counterfactual reserve price; Uniform confidence band; Bootstrap;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions

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