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A shape constrained estimator of bidding function of first-price sealed-bid auctions

Yu Yvette Zhang

Economics Letters, 2017, vol. 150, issue C, 67-72

Abstract: This paper is concerned with economic analysis of first-price sealed-bid auctions with risk averse bidders. The identification is based on exogenous variations in the number of bidders across auctions. We present a shape constrained estimator of the bidding function, which satisfies the theoretical properties of passing through origin, positivity and monotonicity. The underlying utility function and bidder value distribution are readily obtained from the estimated bidding function. Monte Carlo simulations demonstrate good performance of the proposed estimator.

Keywords: First-price auctions; Bidding functions; Risk aversion; Shaped constrained estimator (search for similar items in EconPapers)
JEL-codes: C5 C14 D44 (search for similar items in EconPapers)
Date: 2017
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