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Quantile regression methods for first-price auctions

Gimenes, Nathalie and Guerre, Emmanuel (2019) Quantile regression methods for first-price auctions. [Preprint] (Unpublished) (doi:10.48550/arXiv.1909.05542) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:77789)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
https://doi.org/10.48550/arXiv.1909.05542

Abstract

The paper proposes a sieve quantile regression approach for first-price auctions with symmetric risk-neutral bidders under the independent private value paradigm. It is first shown that a private value quantile regression model generates a quantile regression for the bids. The private value quantile regression can be easily estimated from the bid quantile regression and its derivative with respect to the quantile level. A new local polynomial technique is proposed to estimate the latter over the whole quantile level interval. Plug in estimation of functionals is also considered, as needed for the expected revenue or the case of CRRA risk-averse bidders, which is amenable to our framework. A quantile regression analysis to USFS timber is found more appropriate than the homogenized bid methodology and illustrates the contribution of each explanatory variables to the private value distribution.

Item Type: Preprint
DOI/Identification number: 10.48550/arXiv.1909.05542
Refereed: No
Other identifier: https://arxiv.org/abs/1909.05542
Name of pre-print platform: arXiv
Uncontrolled keywords: First-price auction; independent private value; dimension reduction; quantile regression; local polynomial estimation; sieve estimation; boundary correction
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Divisions: Divisions > Division of Human and Social Sciences > School of Economics
Depositing User: Emmanuel Guerre
Date Deposited: 24 Oct 2019 14:59 UTC
Last Modified: 08 Jan 2024 09:55 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/77789 (The current URI for this page, for reference purposes)

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