Working Paper
Identification of First-Price Auctions With Biased Beliefs
Abstract: This paper exploits variation in the number of bidders to separately identify the valuation distribution and the bidders' belief about the valuation distribution in first-price auctions with independent private values. Exploiting variation in auction volume the result is extended to environments with risk averse bidders. In an illustrative application we fail to reject the null hypothesis of correct beliefs.
Keywords: Biased beliefs; first-price auction; nonparametric identification; risk aversion;
Access Documents
File(s):
File format is application/pdf
http://www.federalreserve.gov/econresdata/feds/2015/files/2015056pap.pdf
Description: Full text
File(s):
File format is application/pdf
http://dx.doi.org/10.17016/FEDS.2015.056
Description: http://dx.doi.org/10.17016/FEDS.2015.056
Authors
Bibliographic Information
Provider: Board of Governors of the Federal Reserve System (U.S.)
Part of Series: Finance and Economics Discussion Series
Publication Date: 2015-07-23
Number: 2015-56
Pages: 44 pages