An information–Theoretic approach to partially identified auction models

Sung Jae Jun and Joris Pinkse

Journal of Econometrics, 2024, vol. 238, issue 2

Abstract: We consider a situation in which we have data from ascending auctions with symmetric bidders, independent private values, and exogenous entry in which the bidders’ value distribution is partially identified. Focusing on the case in which the seller intends to use a second price auction, we discuss how to determine an optimal reserve price. We justify the use of maximum entropy, explore the properties of the estimand, determine the asymptotic properties of our maximum entropy estimator, evaluate its behavior in a simulation study, and demonstrate its use in a modest application. As an extension, we propose a maxmin decision rule with entropy regularization, which includes Aryal and Kim (2013) and the maximum entropy solution as extreme cases.

Keywords: English auctions; partial identification; maximum entropy; inequality constraints; nonparametric inference (search for similar items in EconPapers)
JEL-codes: C01 C10 C57 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002828

DOI: 10.1016/j.jeconom.2023.105566

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