Nonparametric Estimation of Large Auctions with Risk Averse Bidders

Xiaodong Liu

Econometric Reviews, 2016, vol. 35, issue 1, 98-121

Abstract: This article studies the robustness of Guerre et al.'s (2000) two-step nonparametric estimation procedure in a first-price, sealed-bid auction with n ( n >> 1) risk averse bidders. Based on an asymptotic approximation with precision of order O ( n -super- - 2) of the intractable equilibrium bidding function, we establish the uniform consistency with rates of convergence of Guerre et al.'s (2000) two-step nonparametric estimator in the presence of risk aversion. Monte Carlo experiments show that the two-step nonparametric estimator performs reasonably well with a moderate number of bidders such as six.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/07474938.2013.806719 (text/html)
Access to full text is restricted to subscribers.

Related works:
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: https://EconPapers.repec.org/RePEc:taf:emetrv:v:35:y:2016:i:1:p:98-121

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474938.2013.806719

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().