Testing for risk aversion in first-price sealed-bid auctions
DOI10.1016/J.JECONOM.2020.11.015OpenAlexW3167787132MaRDI QIDQ2074592FDOQ2074592
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
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
nonparametric testingrisk aversionindependent private valuesfirst-price auctionlocal alternatives at the parametric rate
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
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- Semiparametric estimation of first-price auctions with risk-averse bidders
- Nonparametric estimation of utility function in first-price sealed-bid auctions
- Testing Parameters in GMM Without Assuming that They Are Identified
- Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity
- Identification of time and risk preferences in buy price auctions
- Nonparametric estimation of first-price auctions with risk-averse bidders
- Nonparametric Identification of Risk Aversion in First-Price Auctions Under Exclusion Restrictions
- A NONPARAMETRIC TEST FOR COMPARING VALUATION DISTRIBUTIONS IN FIRST‐PRICE AUCTIONS
- Quantile-based nonparametric inference for first-price auctions
- 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
- Procurements with Bidder Asymmetry in Cost and Risk-Aversion
- First-price sealed-bid auctions when bidders exhibit different attitudes toward risk
- 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
- Two results on auctions with endogenous entry
- Tests of a heterogeneous bidders theory of first price auctions
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