A Point Decision for Partially Identified Auction Models

36 Pages Posted: 30 Jun 2012 Last revised: 5 Mar 2016

See all articles by Gaurab Aryal

Gaurab Aryal

Washington University in St. Louis

Dong-Hyuk Kim

Vanderbilt University - College of Arts and Science - Department of Economics

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.

Suggested Citation

Aryal, Gaurab and Kim, Dong-Hyuk, A Point Decision for Partially Identified Auction Models (June 28, 2012). Journal of Business and Economic Statistics (2013), Vol 31, No. 4, pp. 384-397, Available at SSRN: https://ssrn.com/abstract=2094964 or http://dx.doi.org/10.2139/ssrn.2094964

Gaurab Aryal (Contact Author)

Washington University in St. Louis ( email )

Seigle Hall 335
One Brookings Drive
St. Louis, MO 63130
United States

Dong-Hyuk Kim

Vanderbilt University - College of Arts and Science - Department of Economics ( email )

Box 1819 Station B
Nashville, TN 37235
United States

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