Testing for risk aversion in first-price sealed-bid auctions
2022
Jun, Sung Jae | Zincenko, Federico
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.
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书目信息
出版者
Elsevier B.V.
其它主题
C12; Normal distribution; Local alternatives at the parametric rate; Nonparametric testing; Independent private values; First-price auction; D44; Risk aversion
语言
英语
类型
Journal Article; Text
2024-02-28
MODS