Artikel
Flexible Bayesian analysis of first price auctions using a simulated likelihood
I propose a Bayesian method to analyze bid data from first-price auctions under private value paradigms. I use a series representation to specify the valuation density so that bidding monotonicity is always satisfied, and I impose density affiliation by the nonparametric technique of Beresteanu (2007). This flexible method is, therefore, fully compatible with the underlying economic theory. To handle such a rich specification, I use a simulated likelihood, yet obtain a correct posterior by regarding the draws used for simulation as a latent variable to be augmented in the Bayesian framework; see Flury and Shephard, 2011. I provide a step-by-step guide of the method, report its performance from various perspectives, and compare the method with the existing one for a range of data generating processes and sample sizes. Finally, I analyze a bid sample for drilling rights in the outer continental shelf that has been widely studied and propose a reserve price that is decision theoretically optimal under parameter uncertainty.
- Sprache
-
Englisch
- Erschienen in
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Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 6 ; Year: 2015 ; Issue: 2 ; Pages: 429-461 ; New Haven, CT: The Econometric Society
- Klassifikation
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Wirtschaft
- Thema
-
First price sealed bid auctions
affiliated private values
revenue maximizing reserve price
Bayesian analysis
method of series
simulated likelihood
shape restriction
- Ereignis
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Geistige Schöpfung
- (wer)
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Kim, Dong-Hyuk
- Ereignis
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Veröffentlichung
- (wer)
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The Econometric Society
- (wo)
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New Haven, CT
- (wann)
-
2015
- DOI
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doi:10.3982/QE257
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Kim, Dong-Hyuk
- The Econometric Society
Entstanden
- 2015
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