广义二次拍卖的非参数辨识与估计

IF 1 3区经济学 Q3 ECONOMICS

Games and Economic Behavior Pub Date : 2025-02-11 DOI:10.1016/j.geb.2025.02.005

Ksenia Shakhgildyan

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引用次数: 0

摘要

本文建立了不完全信息广义二次拍卖模型的辨识性，并给出了一个非参数估计量。我从调整投标的CDF、中标结果和点击率中恢复了投标人的质量调整估值的分布。通过蒙特卡罗模拟，我评估了所提出的估计器的有限样本性能。此外，我比较了不完全信息模型的估计量和错误指定模型的估计量，假设调整出价是根据完全信息模型的局部无嫉妒均衡出价的结果。

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Nonparametric identification and estimation of the generalized second-price auction

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.

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来源期刊

Games and Economic Behavior ECONOMICS-

CiteScore

1.90

自引率

9.10%

发文量

148

期刊介绍： Games and Economic Behavior facilitates cross-fertilization between theories and applications of game theoretic reasoning. It consistently attracts the best quality and most creative papers in interdisciplinary studies within the social, biological, and mathematical sciences. Most readers recognize it as the leading journal in game theory. Research Areas Include: • Game theory • Economics • Political science • Biology • Computer science • Mathematics • Psychology