Nonparametric identification and estimation of the generalized second-price auction

Ksenia Shakhgildyan

Games and Economic Behavior, 2025, vol. 150, issue C, 480-500

Abstract: In this paper, I establish the identification and present a nonparametric estimator for the incomplete information generalized second-price auction model. I recover the distribution of the bidders' quality-adjusted valuations from the CDF of the adjusted bids, win outcomes, and click-through rates. Through the Monte Carlo simulations, I evaluate the finite-sample performance of the proposed estimator. Additionally, I compare the estimator of the incomplete information model to the estimator of the misspecified model assuming that adjusted bids are the result of the bidding according to the locally envy-free equilibrium of complete information model.

Keywords: Generalized second-price auction; Nonparametric identification; Nonparametric estimation; Incomplete information (search for similar items in EconPapers)
JEL-codes: C13 C14 D44 L81 M37 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:gamebe:v:150:y:2025:i:c:p:480-500

DOI: 10.1016/j.geb.2025.02.005

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