Estimation and Inference of Seller’s Expected Revenue in First-Price Auctions

37 Pages Posted: 2 Feb 2022

See all articles by Federico Zincenko

Federico Zincenko

University of Nebraska at Lincoln - College of Business Administration

Date Written: November 29, 2021

Abstract

I propose an estimator for the seller's expected revenue function in a first-price sealed-bid auction with independent private values and symmetric bidders, who can exhibit constant relative risk aversion and bid according to the Bayesian Nash equilibrium. I build the proposed estimator from pseudo-private values, which can be estimated from observed bids, and show that it is pointwise and uniformly consistent: the corresponding optimal nonparametric rates of convergence can be achieved. Then I construct asymptotically valid confidence intervals and uniform confidence bands. Suggestions for critical values are based on first-order asymptotics, as well as on the bootstrap delta method.

Keywords: first-price auction, seller's expected revenue, counterfactual reserve price, uniform confidence band, bootstrap

JEL Classification: C14, D44

Suggested Citation

Zincenko, Federico, Estimation and Inference of Seller’s Expected Revenue in First-Price Auctions (November 29, 2021). Available at SSRN: https://ssrn.com/abstract=3966545 or http://dx.doi.org/10.2139/ssrn.3966545

Federico Zincenko (Contact Author)

University of Nebraska at Lincoln - College of Business Administration ( email )

1240 R Street
P.O. Box 880405
Lincoln, NE 68588-0405
United States

HOME PAGE: http://https://sites.google.com/site/fzincenk

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