英文标题：
《Empirical Relevance of Ambiguity in First Price Auction Models》
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作者：
Gaurab Aryal and Dong-Hyuk Kim
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最新提交年份：
2015
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英文摘要：
We study the identification and estimation of first-price auction models where bidders have ambiguity about the valuation distribution and their preferences are represented by maxmin expected utility. When entry is exogenous, the distribution and ambiguity structure are nonparametrically identified, separately from risk aversion (CRRA). We propose a flexible Bayesian method based on Bernstein polynomials. Monte Carlo experiments show that our method estimates parameters precisely, and chooses reserve prices with (nearly) optimal revenues, whether there is ambiguity or not. Furthermore, if the model is misspecified -- incorrectly assuming no ambiguity among bidders -- it may induce estimation bias with a substantial revenue loss.
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中文摘要：
我们研究了一级价格拍卖模型的识别和估计，其中投标人对估值分布具有模糊性，他们的偏好由maxmin期望效用表示。当输入是外生的，分布和模糊结构是非参数识别的，与风险规避（CRRA）分开。我们提出了一种基于伯恩斯坦多项式的灵活贝叶斯方法。蒙特卡罗实验表明，无论是否存在模糊性，我们的方法都能精确估计参数，并选择具有（接近）最优收益的储备价格。此外，如果模型被错误地指定——错误地假设投标人之间没有歧义——可能会导致估计偏差，从而造成巨大的收入损失。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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