Stochastic Private Values in Auctions: Identification and Estimation

東京大学経済学研究科棟 3階 第3教室

Lu Jingfeng 氏
National University of Singapore

This paper addresses the identification and estimation of the stochastic private value model for first-price sealed-bid auctions. Under a constant absolute risk aversion specification for the bidders' utility function, the model is semiparametrically identified from the winner's ex post private value and the winning bid. A semiparametric method is proposed for estimating the risk aversion parameter, the risk premium, and the distributions of the ex ante private signal and the ex post shock. The semiparametric estimator for the risk aversion parameter and the risk premium converges at the parametric rate. A Monte Carlo study confirms its small sample good behavior.

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