Estimation and inference of seller’s expected revenue in first-price auctions

Federico Zincenko

Journal of Econometrics, 2024, vol. 241, issue 1

Abstract: I propose an estimator for the seller’s expected revenue function in a first-price sealed-bid auction with independent private values and symmetric bidders, who can exhibit constant relative risk aversion and bid according to the Bayesian Nash equilibrium. I build the proposed estimator from pseudo-private values, which can be estimated from observed bids, and show that it is pointwise and uniformly consistent: the corresponding optimal nonparametric rates of convergence can be achieved. Then I construct asymptotically valid confidence intervals and uniform confidence bands. Suggestions for critical values are based on first-order asymptotics, as well as on the bootstrap method.

Keywords: First-price auction; Seller’s expected revenue; Counterfactual reserve price; Uniform confidence band; Bootstrap (search for similar items in EconPapers)
JEL-codes: C14 D44 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:241:y:2024:i:1:s0304407624000800

DOI: 10.1016/j.jeconom.2024.105734

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