Identification of First-Price Auctions with Biased Beliefs

FEDS Working Paper No. 2015-056

http://dx.doi.org/10.17016/FEDS.2015.056

45 Pages Posted: 19 Aug 2015

See all articles by Serafin Grundl

Serafin Grundl

Board of Governors of the Federal Reserve System

Yu Zhu

Government of Canada - Bank of Canada

Date Written: May 14, 2015

Abstract

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

Grundl, Serafin and Zhu, Yu, Identification of First-Price Auctions with Biased Beliefs (May 14, 2015). 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

Serafin Grundl (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Yu Zhu

Government of Canada - Bank of Canada ( email )

234 Wellington Street
Ontario, Ottawa K1A 0G9
Canada

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