Empirical relevance of ambiguity in first-price auctions

A-Tier
Journal: Journal of Econometrics
Year: 2018
Volume: 204
Issue: 2
Pages: 189-206

Authors (4)

Aryal, Gaurab (Boston University) Grundl, Serafin (not in RePEc) Kim, Dong-Hyuk (not in RePEc) Zhu, Yu (Bank of Canada)

Score contribution per author:

1.005 = (α=2.01 / 4 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We study the identification and estimation of first-price auctions with independent private values if bidders face ambiguity about the valuation distribution and have maxmin expected utility. Using variation in the number of bidders we nonparametrically identify the true valuation distribution and the lower envelope of the set of prior beliefs. We also allow for CRRA and unobserved auction heterogeneity, and propose a Bayesian estimation method based on Bernstein polynomials. Monte Carlo experiments show that our estimator performs well, and incorrectly ignoring ambiguity induces bias and loss of revenue. We find evidence of ambiguity in timber auctions in the Pacific Northwest.

Technical Details

RePEc Handle
repec:eee:econom:v:204:y:2018:i:2:p:189-206
Journal Field
Econometrics
Author Count
4
Added to Database
2026-01-24