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

Sung Jae Jun and Federico Zincenko

Journal of Econometrics, 2022, vol. 226, issue 2, 295-320

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.

Keywords: First-price auction; Independent private values; Risk aversion; Nonparametric testing; Local alternatives at the parametric rate (search for similar items in EconPapers)
JEL-codes: C12 D44 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Testing for Risk Aversion in First-Price Sealed-Bid Auctions (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:226:y:2022:i:2:p:295-320

DOI: 10.1016/j.jeconom.2020.11.015

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