Download This PaperA Point Decision for Partially Identified Auction Models
36 Pages Posted: 30 Jun 2012 Last revised: 5 Mar 2016
Date Written: June 28, 2012
Abstract
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 sub- stantial gains relative to the revenues corresponding to a random point and the midpoint in the Haile and Tamer interval.
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