Testing for risk aversion in first-price sealed-bid auctions

Sung Jae Jun, Federico Zincenko

Research output: Contribution to journalArticlepeer-review

Abstract

We consider testing for risk aversion in first-price sealed-bid auctions with symmetric bidders and independent private values. We impose several restrictions on the parameter space, which are all implied by Guerre et al. (2009)’s exclusion restriction, and we articulate what restrictions are needed for our test to control the limiting size and to be pointwise consistent. Critical values can be obtained from the standard normal distribution. We also analyze local-power properties and show that our test detects local alternative at the parametric rate.

Original languageEnglish (US)
Pages (from-to)295-320
Number of pages26
JournalJournal of Econometrics
Volume226
Issue number2
DOIs
StateAccepted/In press - 2021

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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