DMCA
2009): “Nonparametric Identification of Risk Aversion in First-Price Auctions Under Exclusion Restrictions
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| Venue: | Econometrica |
| Citations: | 26 - 3 self |
BibTeX
@ARTICLE{Guerre_2009):“nonparametric,
author = {Emmanuel Guerre and Isabelle Perrigne and Quang Vuong},
title = {2009): “Nonparametric Identification of Risk Aversion in First-Price Auctions Under Exclusion Restrictions},
journal = {Econometrica},
year = {},
pages = {11931227}
}
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Abstract
This paper studies the nonparametric identification of the first-price auction model with risk averse bidders within the private value paradigm. First, we show that the benchmark model is nonindentified from observed bids. We also derive the restrictions imposed by the model on observables and show that these restrictions are weak. Second, we establish the nonparametric identification of the bidders ’ utility function under exclusion restrictions. Our primary exclusion restriction takes the form of an exogenous bidders ’ participation, leading to a latent distribution of private values that is independent of the number of bidders. The key idea is to exploit the property that the bid distribution varies with the number of bidders while the private value distribution does not. We then extend these results to endogenous bidders ’ participation when the exclusion restriction takes the form of instruments that do not affect the bidders ’ private value distribution. Though derived for a benchmark model, our results extend to more general cases such as a binding reserve price, affiliated private values, and asymmetric bidders. Last, possible estimation methods are proposed.
Keyphrases
exclusion restriction nonparametric identification first-price auction risk aversion benchmark model endogenous bidder participation possible estimation method binding reserve price private value paradigm affiliated private value first-price auction model private value primary exclusion restriction bidder private value distribution private value distribution observed bid exogenous bidder participation risk averse bidder bidder utility function general case asymmetric bidder paper study bid distribution varies latent distribution key idea
