Bayesian Inference in Structural Second-Price Common Value Auctions

DOI10.1198/JBES.2011.08289MaRDI QIDQ3089156zbMATH OpenOpenAlexFDO

Authors Bertil Wegmann, Mattias Villani

Publication date 24 August 2011

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL http://www.riksbank.com/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/2010/wp242.pdf

zbMATH Keywords

bid function approximationeBayinternet auctionslikelihood inferenceMarkov chain Monte Carlonormal valuationvariable selection

Mathematics Subject Classification ID

Bayesian inference (62F15) Auctions, bargaining, bidding and selling, and other market models (91B26) Statistical methods; economic indices and measures (91B82)

Recommendations

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Cited in

(4)

• Flexible Bayesian analysis of first price auctions using a simulated likelihood
• Bayesian comparison of private and common values in structural second-price auctions
• On Bayesian epistemology of Myerson auction
• Bayesian inference in repeated English auctions

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