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Identification of First-Price Auctions With Biased Beliefs

Serafin J. Grundl and Yu Zhu

No 2015-56, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper exploits variation in the number of bidders to separately identify the valuation distribution and the bidders' belief about the valuation distribution in first-price auctions with independent private values. Exploiting variation in auction volume the result is extended to environments with risk averse bidders. In an illustrative application we fail to reject the null hypothesis of correct beliefs.

Keywords: Biased beliefs; first-price auction; nonparametric identification; risk aversion (search for similar items in EconPapers)
Pages: 44 pages
Date: 2015-07-23
New Economics Papers: this item is included in nep-ecm and nep-gth
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http://www.federalreserve.gov/econresdata/feds/2015/files/2015056pap.pdf Full text (application/pdf)
http://dx.doi.org/10.17016/FEDS.2015.056 http://dx.doi.org/10.17016/FEDS.2015.056 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2015-56

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