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Nonparametric Estimation of Large Auctions with Risk Averse Bidders

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  • Xiaodong Liu

Abstract

This article studies the robustness of Guerre et al.'s (2000) two-step nonparametric estimation procedure in a first-price, sealed-bid auction with n ( n >> 1) risk averse bidders. Based on an asymptotic approximation with precision of order O ( n -super- - 2) of the intractable equilibrium bidding function, we establish the uniform consistency with rates of convergence of Guerre et al.'s (2000) two-step nonparametric estimator in the presence of risk aversion. Monte Carlo experiments show that the two-step nonparametric estimator performs reasonably well with a moderate number of bidders such as six.

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  • Xiaodong Liu, 2016. "Nonparametric Estimation of Large Auctions with Risk Averse Bidders," Econometric Reviews, Taylor & Francis Journals, vol. 35(1), pages 98-121, January.
    • Handle: RePEc:taf:emetrv:v:35:y:2016:i:1:p:98-121
    DOI: 10.1080/07474938.2013.806719
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    Cited by:

    1. Grundl, Serafin & Zhu, Yu, 2019. "Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity," Journal of Econometrics, Elsevier, vol. 210(2), pages 363-378.

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