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.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 6 ; Year: 2015 ; Issue: 2 ; Pages: 429-461 ; New Haven, CT: The Econometric Society
- Classification
-
Wirtschaft
- Subject
-
First price sealed bid auctions
affiliated private values
revenue maximizing reserve price
Bayesian analysis
method of series
simulated likelihood
shape restriction
- Event
-
Geistige Schöpfung
- (who)
-
Kim, Dong-Hyuk
- Event
-
Veröffentlichung
- (who)
-
The Econometric Society
- (where)
-
New Haven, CT
- (when)
-
2015
- DOI
-
doi:10.3982/QE257
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Kim, Dong-Hyuk
- The Econometric Society
Time of origin
- 2015
Other Objects (12)
Obtaining reliable Likelihood Ratio tests from simulated likelihood functions
Maintaining symmetry of simulated likelihood functions
Simulated Maximum Likelihood using Tilted Importance Sampling
Zur Simulated Maximum-Likelihood-Schätzung von Mehrperioden-Mehralternativen-Probitmodellen
Persistent and Transient Productive Inefficiency: A Maximum Simulated Likelihood Approach
Estimation of financial agent-based models with simulated maximum likelihood
Likelihood, Bayesian, and MCMC methods in quantitative genetics
On the estimation of behavioral macroeconomic models via simulated maximum likelihood
Estimation of DSGE models: Maximum likelihood vs. Bayesian methods
Estimation of Multinomial Logit Models with Unobserved Heterogeneity Using Maximum Simulated Likelihood
Estimation of Multinomial Logit Models with Unobserved Heterogeneity Using Maximum Simulated Likelihood
Parameter Driven Multi-state Duration Models: Simulated vs. Approximate Maximum Likelihood Estimation
Obtaining reliable Likelihood Ratio tests from simulated likelihood functions
Maintaining symmetry of simulated likelihood functions
Simulated Maximum Likelihood using Tilted Importance Sampling
Zur Simulated Maximum-Likelihood-Schätzung von Mehrperioden-Mehralternativen-Probitmodellen
Persistent and Transient Productive Inefficiency: A Maximum Simulated Likelihood Approach
Estimation of financial agent-based models with simulated maximum likelihood
Likelihood, Bayesian, and MCMC methods in quantitative genetics
On the estimation of behavioral macroeconomic models via simulated maximum likelihood
Estimation of DSGE models: Maximum likelihood vs. Bayesian methods
Estimation of Multinomial Logit Models with Unobserved Heterogeneity Using Maximum Simulated Likelihood
Estimation of Multinomial Logit Models with Unobserved Heterogeneity Using Maximum Simulated Likelihood
Parameter Driven Multi-state Duration Models: Simulated vs. Approximate Maximum Likelihood Estimation
Obtaining reliable Likelihood Ratio tests from simulated likelihood functions
Maintaining symmetry of simulated likelihood functions
Simulated Maximum Likelihood using Tilted Importance Sampling
Zur Simulated Maximum-Likelihood-Schätzung von Mehrperioden-Mehralternativen-Probitmodellen
Persistent and Transient Productive Inefficiency: A Maximum Simulated Likelihood Approach
Estimation of financial agent-based models with simulated maximum likelihood
Likelihood, Bayesian, and MCMC methods in quantitative genetics
On the estimation of behavioral macroeconomic models via simulated maximum likelihood
Estimation of DSGE models: Maximum likelihood vs. Bayesian methods
Estimation of Multinomial Logit Models with Unobserved Heterogeneity Using Maximum Simulated Likelihood
Estimation of Multinomial Logit Models with Unobserved Heterogeneity Using Maximum Simulated Likelihood