【Metrics Seminar】Review of Extreme Value Theory and Application to Auction Data

  • 研討會日期 : 2024-03-05
  • 時間 : 14:00
  • 主講人 : Professor Yulong Wang (王宇龍)
  • 地點 : Conference Room B110
  • 演講者簡介 : Professor Yulong Wang received his PhD from Princeton University in 2017. He is currently an Associate Professor at Syracuse University. His research interests are econometrics and applied econometrics.
  • 演講摘要 : Extreme values such as very large or small observations are commonly encountered in practice. This talk first reviews extreme value (EV) theory, a statistic theory that characterizes the asymptotic distribution of these extreme values and then applies EV theory to study auction data. In particular, we consider inference in first-price and second-price sealed-bid auctions with a large number of symmetric bidders having independent private values. Given the abundance of bidders in each auction, we propose an asymptotic framework in which the number of bidders diverges while the number of auctions remains fixed. This framework allows us to perform asymptotically exact inference on key model features using only transaction price data. Specifically, we examine inference on the expected utility of the auction winner, the expected revenue of the seller, and the tail properties of the valuation distribution.