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: D44 C14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-gth and nep-upt
Date: 2006-11
View list of references

Downloads: (external link)
http://mpra.ub.uni-muenchen.de/948/

Related works:
Journal Article: Estimating risk aversion from ascending and sealed-bid auctions: the case of timber auction data (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:948

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany
Address: Schackstr. 4, D-80539 Munich, Germany
Contact information at EDIRC.
Series data maintained by Ekkehart Schlicht ().