An Experimental Evaluation of Regret-Based Econometrics

Using data obtained in a controlled ad-auction experiment that we ran, we evaluate the regret-based approach to econometrics that was recently suggested by Nekipelov, Syrgkanis, and Tardos (EC 2015). We found that despite the weak regret-based assumptions, the results were (at least) as accurate as those obtained using classical equilibrium-based assumptions. En route we studied to what extent did humans actually minimize regret in our ad-auction, and found a significant difference between the “high types” who indeed rationally minimized regret and the “low types” that significantly over-bid. We suggest that correcting for these biases may improve the accuracy of