Identification of First-Price Auctions with Biased Beliefs
45 Pages Posted: 19 Aug 2015
Date Written: May 14, 2015
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
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