Semiparametric estimation of the optimal reserve price in first-price auctions

Tong Li, Isabelle Perrigne, Quang Vuong

    Research output: Contribution to journalArticlepeer-review


    The optimal reserve price in the independent private value paradigm is generally expressed as a functional of the latent distribution of private signals, which is by nature unobserved. This feature has limited the implementation of the optimal reserve price in practice. In this article, we consider first-price auctions within the general affiliated private values paradigm. We show that the seller's expected profit can be written as a functional of the observed bid distribution. We propose a semiparametric extremum estimator for estimating consistently the optimal reserve price from observed bids. As an illustration, we consider the Outer Continental Shelf (OCS) wildcat auctions.

    Original languageEnglish (US)
    Pages (from-to)53-64
    Number of pages12
    JournalJournal of Business and Economic Statistics
    Issue number1
    StatePublished - Jan 2003


    • Affiliated private value
    • OCS wildcat auction
    • Semiparametric extremum estimator

    ASJC Scopus subject areas

    • Statistics and Probability
    • Social Sciences (miscellaneous)
    • Economics and Econometrics
    • Statistics, Probability and Uncertainty


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