Testing for risk aversion in first-price sealed-bid auctions

DOI10.1016/J.JECONOM.2020.11.015MaRDI QIDQ2074592zbMATH OpenOpenAlexFDO

Authors Sung Jae Jun, Federico Zincenko

Publication date 10 February 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://www.econ.pitt.edu/sites/default/files/working_papers/WP.19.03.upload.pdf

zbMATH Keywords

nonparametric testingrisk aversionindependent private valuesfirst-price auctionlocal alternatives at the parametric rate

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Recommendations

• First-price sealed-bid auctions when bidders exhibit different attitudes toward risk
• Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity
• Risk aversion in first price auctions with common values
• Separating probability weighting and risk aversion in first-price auctions
• Risk aversion and optimal reserve prices in first- and second-price auctions
• Nonparametric Identification of Risk Aversion in First-Price Auctions Under Exclusion Restrictions
• Ambiguity aversion in first-price sealed-bid auctions
• Tests of a heterogeneous bidders theory of first price auctions
• Semiparametric estimation of first-price auctions with risk-averse bidders
• Piecewise pseudo-maximum likelihood estimation for risk aversion case in first-price sealed-bid auction

Cites work

• scientific article; zbMATH DE number 477682 (Why is no real title available?)
• A Conditional Likelihood Ratio Test for Structural Models
• A NONPARAMETRIC TEST FOR COMPARING VALUATION DISTRIBUTIONS IN FIRST‐PRICE AUCTIONS
• A simple ordered data estimator for inverse density weighted expectations
• Estimation of functionals of density support
• Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity
• Identification of time and risk preferences in buy price auctions
• Instrumental Variables Regression with Weak Instruments
• Minimax theory of image reconstruction
• Nonparametric Identification of Risk Aversion in First-Price Auctions Under Exclusion Restrictions
• Nonparametric estimation of first-price auctions with risk-averse bidders
• Nonparametric estimation of utility function in first-price sealed-bid auctions
• Optimal Nonparametric Estimation of First-price Auctions
• Optimal global rates of convergence for nonparametric regression
• Optimal rates of convergence for nonparametric estimators
• Quantile-based nonparametric inference for first-price auctions
• Semiparametric estimation of first-price auctions with risk-averse bidders
• Testing Parameters in GMM Without Assuming that They Are Identified
• Testing Statistical Hypotheses
• Testing for a general class of functional inequalities
• \(k\)-nearest neighbor estimation of inverse-density-weighted expectations with dependent data

Cited in

(11)

• Estimation and inference of seller's expected revenue in first-price auctions
• Risk aversion in auctions with asymmetrically informed bidders: a ``desensitizer from uncertainty
• Adversarial risk analysis for first‐price sealed‐bid auctions
• First-price sealed-bid auctions when bidders exhibit different attitudes toward risk
• Procurements with Bidder Asymmetry in Cost and Risk-Aversion
• Premium auctions and risk preferences: an experimental study
• Ambiguity aversion in first-price sealed-bid auctions
• Inference of bidders' risk attitudes in ascending auctions with endogenous entry
• Nonparametric Identification of Risk Aversion in First-Price Auctions Under Exclusion Restrictions
• Tests of a heterogeneous bidders theory of first price auctions
• Two results on auctions with endogenous entry

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