Estimating risk aversion from ascending and sealed-bid auctions: the case of timber auction data

Jingfeng Lu and Isabelle Perrigne

MPRA Paper from University Library of Munich, Germany

Abstract: Estimating bidders’ risk aversion in auctions is a challeging problem because of identification issues. This paper takes advantage of bidding data from two auction designs to identify nonparametrically the 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 partly captured by constant relative risk aversion.

Keywords: Risk Aversion; Nonparametric Identi.cation; Nonparametric and Semipara-metric Estimation; Timber Auctions (search for similar items in EconPapers)
JEL-codes: C14 D44 (search for similar items in EconPapers)
Date: 2006-11
New Economics Papers: this item is included in nep-ecm, nep-gth and nep-upt
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Related works:
Journal Article: Estimating risk aversion from ascending and sealed-bid auctions: the case of timber auction data (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:948

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