A point decision for partially identified auction models

Aryal, G; Kim, DH

A point decision for partially identified auction models

Aryal, G Kim, DH

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Publication Type:: Journal Article
Citation:: Journal of Business and Economic Statistics, 2013, 31 (4), pp. 384 - 397
Issue Date:: 2013-01-01

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Field	Value	Language
dc.contributor.author	Aryal, G	en_US
dc.contributor.author	Kim, DH	en_US
dc.date.issued	2013-01-01	en_US
dc.identifier.citation	Journal of Business and Economic Statistics, 2013, 31 (4), pp. 384 - 397	en_US
dc.identifier.issn	0735-0015	en_US
dc.identifier.uri	http://hdl.handle.net/10453/26397
dc.description.abstract	© 2013 American Statistical Association. This article proposes a decision-theoretic method to choose a single reserve price for partially identified auction models, such as Haile and Tamer (2003), using data on transaction prices from English auctions. The article employs Gilboa and Schmeidler (1989) for inference that is robust with respect to the prior over unidentified parameters. It is optimal to interpret the transaction price as the highest value, and maximize the posterior mean of the seller’s revenue. The Monte Carlo study shows substantial gains relative to the revenues corresponding to a random point and the midpoint in the Haile and Tamer interval.	en_US
dc.relation.ispartof	Journal of Business and Economic Statistics	en_US
dc.relation.isbasedon	10.1080/07350015.2013.794731	en_US
dc.subject.classification	Econometrics	en_US
dc.title	A point decision for partially identified auction models	en_US
dc.type	Journal Article
utslib.citation.volume	4	en_US
utslib.citation.volume	31	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	01 Mathematical Sciences	en_US
utslib.for	14 Economics	en_US
utslib.for	15 Commerce, Management, Tourism and Services	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.issue	4	en_US
pubs.publication-status	Published	en_US
pubs.volume	31	en_US

Abstract:

© 2013 American Statistical Association. This article proposes a decision-theoretic method to choose a single reserve price for partially identified auction models, such as Haile and Tamer (2003), using data on transaction prices from English auctions. The article employs Gilboa and Schmeidler (1989) for inference that is robust with respect to the prior over unidentified parameters. It is optimal to interpret the transaction price as the highest value, and maximize the posterior mean of the seller’s revenue. The Monte Carlo study shows substantial gains relative to the revenues corresponding to a random point and the midpoint in the Haile and Tamer interval.

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http://hdl.handle.net/10453/26397