Identification of First-Price Auctions with Biased Beliefs

This paper exploits variation in the number of bidders to separately identify the valuation distribution and the bidders' belief about the valuation distribution in first-price auctions with independent private values. Exploiting variation in auction volume the result is extended to environments with risk averse bidders. In an illustrative application we fail to reject the null hypothesis of correct beliefs.

Keywords: Biased Beliefs, First-Price Auction, Nonparametric Identification, Risk Aversion

JEL Classification: C57, D83, D44

Suggested Citation: Suggested Citation

Grundl, Serafin and Zhu, Yu, Identification of First-Price Auctions with Biased Beliefs (May 14, 2015). FEDS Working Paper No. 2015-056, http://dx.doi.org/10.17016/FEDS.2015.056, Available at SSRN: https://ssrn.com/abstract=2638360 or http://dx.doi.org/10.2139/ssrn.2638360