Estimating Risk Aversion from Ascending and Sealed-Bid Auctions: The Case of Timber Auction Data
نویسندگان
چکیده
Estimating bidders’ risk aversion in auctions is challeging because of identification issues. This paper takes advantage of bidding data from two auction designs to nonparametrically identify bidders’ utility function within a private value framework. In particular, ascending auction data allow us to recover the latent distribution of private values, while first-price sealed-bid auction data allow us to recover the bidders’ utility function. This leads to a nonparametric estimator. An application to the US Forest Service timber auctions is proposed. Estimated utility functions display concavity, which can be captured by a CRRA specification.
منابع مشابه
EMPIRICAL INDUSTRIAL ORGANIZATION Identification and Estimation of Bidders' Risk Aversion in First-Price Auctions
Risk aversion is a fundamental concept in economics used to explain agents' behavior under uncertainty. Risk aversion in auctions has been justified through the many uncertainties faced by bidders and through the large value of bids relative to bidders' assets. In first-price auctions, risk aversion renders more aggress sive bidding, while bidding in ascending auc tions is not affected, leadi...
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