Related papers: Semiparametric Quantile Models for Ascending Aucti…
We propose a principal components regression method based on maximizing a joint pseudo-likelihood for responses and predictors. Our method uses both responses and predictors to select linear combinations of the predictors relevant for the…
This paper introduces a version of the interdependent value model of Milgrom and Weber (1982), where the signals are given by an index gathering signal shifters observed by the econometrician and private ones specific to each bidders. The…
We prove asymptotic equivalence of nonparametric additive regression and an appropriate Gaussian white noise experiment in which a multidimensional shifted Wiener process is observed, whose dimension equals the number of additive…
We propose a novel estimation approach for a general class of semi-parametric time series models where the conditional expectation is modeled through a parametric function. The proposed class of estimators is based on a Gaussian…
In this paper, we discuss a family of robust, high-dimensional regression models for quantile and composite quantile regression, both with and without an adaptive lasso penalty for variable selection. We reformulate these quantile…
In a sequential auction with multiple bidding agents, it is highly challenging to determine the ordering of the items to sell in order to maximize the revenue due to the fact that the autonomy and private information of the agents heavily…
Generalized linear models and the quasi-likelihood method extend the ordinary regression models to accommodate more general conditional distributions of the response. Nonparametric methods need no explicit parametric specification, and the…
Bidding in simultaneous auctions is challenging because an agent's value for a good in one auction may depend on the uncertain outcome of other auctions: the so-called exposure problem. Given the gap in understanding of general simultaneous…
We present a general framework for designing approximately revenue-optimal mechanisms for multi-item additive auctions, which applies to both truthful and non-truthful auctions. Given a (not necessarily truthful) single-item auction format…
The declining price anomaly states that the price weakly decreases when multiple copies of an item are sold sequentially over time. The anomaly has been observed in a plethora of practical applications. On the theoretical side, Gale and…
We study $n$-dimensional contests between two players with heterogeneous effort costs, where each dimension (battle) is modeled as a Tullock contest. Prize-allocation rules are identity-independent, budget-balanced, and weakly increasing in…
Quantile regression is a method to estimate the quantiles of the conditional distribution of a response variable, and as such it permits a much more accurate portrayal of the relationship between the response variable and observed…
We propose a new all-pay auction format in which risk-loving bidders pay a constant fee each time they bid for an object whose monetary value is common knowledge among the bidders, and bidding fees are the only source of benefit for the…
We improve the best known competitive ratio (from 1/4 to 1/2), for the online multi-unit allocation problem, where the objective is to maximize the single-price revenue. Moreover, the competitive ratio of our algorithm tends to 1, as the…
We perform a simulation-based analysis of keyword auctions modeled as one-shot games of incomplete information to study a series of mechanism design questions. Our first question addresses the degree to which incentive compatibility fails…
We present a general framework for proving polynomial sample complexity bounds for the problem of learning from samples the best auction in a class of "simple" auctions. Our framework captures all of the most prominent examples of "simple"…
We propose a two-step pseudo-maximum likelihood procedure for semiparametric single-index regression models where the conditional variance is a known function of the regression and an additional parameter. The Poisson single-index…
Classic results show that even an arbitrarily small correlation across bidders' information can enable full surplus extraction in auctions and related mechanism design settings. Motivated by this fragility, we study the information…
In programmatic advertising, ad slots are usually sold using second-price (SP) auctions in real-time. The highest bidding advertiser wins but pays only the second-highest bid (known as the winning price). In SP, for a single item, the…
High-stakes auctions are often preceded by nonbinding communication between bidders and the seller. Motivated by these practices, this paper examines a two-period model in which two bidders send private cheap talk messages to the seller…