Nonparametric identification and estimation of the generalized second-price auction

• 成果类型: Article
• 署名作者: Shakhgildyan, Ksenia
• 署名单位: Bocconi University; Bocconi University
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2025.02.005
• 发表日期: 2025
• 页码: 480-500
• 关键词: Generalized second-price auction; nonparametric identification; Nonparametric Estimation; incomplete information

摘要

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.