Estimation of Standard Auction Models

@article{Cherapanamjeri2022EstimationOS,
  title={Estimation of Standard Auction Models},
  author={Yeshwanth Cherapanamjeri and Constantinos Daskalakis and Andrew Ilyas and Manolis Zampetakis},
  journal={Proceedings of the 23rd ACM Conference on Economics and Computation},
  year={2022}
}
We provide efficient estimation methods for first- and second-price auctions under independent (asymmetric) private values and partial observability. Given a finite set of observations, each comprising the identity of the winner and the price they paid in a sequence of identical auctions, we provide algorithms for non-parametrically estimating the bid distribution of each bidder, as well as their value distributions under equilibrium assumptions. We provide finite-sample estimation bounds which… 
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4 Citations

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