Estimation of Standard Auction Models. (arXiv:2205.02060v1 [cs.GT])

Web: http://arxiv.org/abs/2205.02060

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 are uniform in that their error rates do
not depend on …

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