Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.664884
Title: Quantile regression approaches for auctions
Author: Sanches, Nathalie C. Gimenes Miessi
ISNI:       0000 0004 5366 525X
Awarding Body: Queen Mary, University of London
Current Institution: Queen Mary, University of London
Date of Award: 2014
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Abstract:
The goal of this thesis is to propose a new quantile regression approach to identify and estimate the quantiles of the private value conditional distribution in ascending and rst price auctions under the Independent Private Value (IPV) paradigm. The quantile regression framework provides a exible and convenient parametrization of the private value distribution, which is not a ected by the curse of dimensionality. The rst Chapter of the thesis introduces a quantile regression methodology for ascending auctions. The Chapter focuses on revenue analysis, optimal reservation price and its associated screening level. An empirical application for the USFS timber auctions suggests an optimal reservation price policy with a probability of selling the good as low as 58% for some auctions with two bidders. The second Chapter tries to address this issue by considering a risk averse seller with a CRRA utility function. A numerical exercise based on the USFS timber auctions shows that increasing the CRRA of the sellers is su cient to give more reasonable policy recommendations and a higher probability of selling the auctioned timber lot. The third Chapter develops a quantile regression methodology for rst-price auction. The estimation method combines local polynomial, quantile regression and additive sieve methods. It is shown in addition that the new quantile regression methodology is not subject to boundary issues. The choice of smoothing parameters is also discussed.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.664884  DOI: Not available
Keywords: quantile regression ; auctions
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