Nonparametric panel estimation of online auction price processes |
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Authors: | Yu Yvette Zhang Jingping Gu Qi Li |
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Institution: | (1) School of Economics Australian School of Business, University of New South Wales, Sydney, 2052, Australia;(2) Retail Analytics, Information Resources Inc., Chicago, IL 60661, USA |
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Abstract: | In this study, we examine the price process of eBay online auctions. We pool sparse and unevenly spaced bidding histories
of individual auctions, resulting in an unbalanced panel of bids. Since the price processes of online auctions are monotonically
increasing within individual auctions and exhibit a substantial degree of heterogeneity, we propose a monotone series estimator
for panel data with auction-specific slopes for a common relative price growth curve. We generalize Ramsay’s (1998, J R Stat
Soc B 60(2):365–375) monotone series estimator to fit our panel model of the price process. We apply the proposed model and
estimator to eBay auctions of a popular hand-held device (a Palm PDA). The results are shown to capture closely the overall
pattern of observed price dynamics. In particular, the early bidding, mid-auction bidding drought, and end-auction bid sniping
are well approximated by the estimated price curve. |
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Keywords: | |
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