Title: Quantile methods for first-price auction: A signal approach
|Date||Thu 27 Apr|
|Time||14:15 — 15:15|
|Location||Fuglesangs Allé 4, 8210 Aarhus V, building 2630(K), room 101|
Speaker: Emmanuel Guerre, Queen Mary University of London
Title: Quantile methods for first-price auction: A signal approach (joint with Nathalie Gimenes, PUC-Rio)
Abstract: This paper considers a quantile signal framework for first-price auction. Under the independent private value paradigm, a key stability property is that a linear specification for the private value conditional quantile function generates a linear specification for the bids one, from which it can be easily identified. This applies in particular for standard quantile regression models but also to more flexible additive sieve specification which are not affected by the curse of dimensionality. A combination of local polynomial and sieve methods allows to estimate the private value quantile function with a fast optimal rate and for all quantile levels in [0; 1] without boundary effects. The choice of the smoothing parameters is also discussed. Extensions to interdependent values including bidder specific variables are also possible under some functional restrictions, which tie up the signal to the bidder covariate. The identification of this new model is established and some estimation methods are suggested.
CREATES arranges seminars on a regular basis, normally every Thursday. The speakers come from worldwide universities and other research institutions - and from CREATES itself.
Organizer: Associate Professor Anders Bredahl Kock