Piecewise pseudo-maximum likelihood estimation for risk aversion case in first-price sealed-bid auction

DOI10.1007/S10614-010-9242-YzbMATH Open1247.91070OpenAlexW2005961768MaRDI QIDQ656956FDOQ656956

Authors: Xin An, Shuo Xu, Shulin Liu 

Publication date: 13 January 2012

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-010-9242-y

Recommendations

• Nonparametric estimation of large auctions with risk averse bidders
• Nonparametric estimation of first-price auctions with risk-averse bidders
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• Econometrics of First-Price Auctions
• Semiparametric estimation of first-price auctions with risk-averse bidders

zbMATH Keywords

Pareto distributionMonte Carlo simulationrisk aversiongoodness of fitpiecewise pseudo-maximum likelihood estimation (PPMLE)

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Piecewise Pseudo-Maximum Likelihood Estimation in Empirical Models of Auctions
• Optimal Nonparametric Estimation of First-price Auctions
• Econometrics of First-Price Auctions
• Semiparametric estimation of first-price auctions with risk-averse bidders
• Optimal Auctions with Risk Averse Buyers
• Quantal response equilibrium and overbidding in private-value auctions
• Comparing Auctions for Risk Averse Buyers: A Buyer's Point of View

Cited In (6)

• Inverse S-shaped probability weighting functions in first-price sealed-bid auctions
• Testing for risk aversion in first-price sealed-bid auctions
• A new approach to identifying generalized competing risks models with application to second-price auctions
• Adversarial risk analysis for first‐price sealed‐bid auctions
• Risk aversion and asymmetry in procurement auctions: identification, estimation and application to construction procurements
• Piecewise Pseudo-Maximum Likelihood Estimation in Empirical Models of Auctions

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