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The Resource Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity, by Serafin Grundl and Yu Zhu
Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity, by Serafin Grundl and Yu Zhu
Resource Information
The item Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity, by Serafin Grundl and Yu Zhu represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Manitoba Libraries.This item is available to borrow from all library branches.
Resource Information
The item Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity, by Serafin Grundl and Yu Zhu represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Manitoba Libraries.
This item is available to borrow from all library branches.
- Summary
- This paper shows point identification in first-price auction models with risk aversion and unobserved auction heterogeneity by exploiting multiple bids from each auction and variation in the number of bidders. The required exclusion restriction is shown to be consistent with a large class of entry models. If the exclusion restriction is violated, but weaker restrictions hold instead, the same identification strategy still yields valid bounds for the primitives. We propose a sieve maximum likelihood estimator. A series of Monte Carlo experiments illustrate that the estimator performs well in finite samples and that ignoring unobserved auction heterogeneity can lead to a significant bias in risk-aversion estimates. In an application to U.S. Forest Service timber auctions we find that the bidders are risk neutral, but we would reject risk neutrality without accounting for unobserved auction heterogeneity
- Language
-
- eng
- fre
- eng
- Extent
- 1 electronic text (iv, 67 pages).
- Note
- "May 2016."
- Label
- Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity
- Title
- Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity
- Statement of responsibility
- by Serafin Grundl and Yu Zhu
- Language
-
- eng
- fre
- eng
- Summary
- This paper shows point identification in first-price auction models with risk aversion and unobserved auction heterogeneity by exploiting multiple bids from each auction and variation in the number of bidders. The required exclusion restriction is shown to be consistent with a large class of entry models. If the exclusion restriction is violated, but weaker restrictions hold instead, the same identification strategy still yields valid bounds for the primitives. We propose a sieve maximum likelihood estimator. A series of Monte Carlo experiments illustrate that the estimator performs well in finite samples and that ignoring unobserved auction heterogeneity can lead to a significant bias in risk-aversion estimates. In an application to U.S. Forest Service timber auctions we find that the bidders are risk neutral, but we would reject risk neutrality without accounting for unobserved auction heterogeneity
- Cataloging source
- CaOODSP
- http://library.link/vocab/creatorName
- Grundl, Serafin
- Government publication
- federal national government publication
- Index
- no index present
- Literary form
- non fiction
- Nature of contents
-
- dictionaries
- bibliography
- http://library.link/vocab/relatedWorkOrContributorName
-
- Zhu, Yu
- Canada
- Series statement
-
- Staff Working Paper,
- Government of Canada Publications
- Series volume
-
- 2016-23
- FB3-5/2016-23E-PDF
- http://library.link/vocab/subjectName
-
- Auctions
- Statistical analysis
- Label
- Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity, by Serafin Grundl and Yu Zhu
- Note
- "May 2016."
- Bibliography note
- Includes bibliographical references (p. 45-50)
- Carrier category
- online resource
- Carrier MARC source
- rdacarrier
- Color
- multicolored
- Content category
- text
- Content type MARC source
- rdacontent
- Dimensions
- unknown
- Extent
- 1 electronic text (iv, 67 pages).
- Form of item
- online
- Media category
- electronic
- Media MARC source
- isbdmedia
- Publisher number
- 10050652
- Specific material designation
- remote
- System control number
-
- (CaOODSP)9.817444
- (OOCEL)10050652
- System details
- Mode of access: World Wide Web
- Type of computer file
- Electronic monograph in PDF format.
- Label
- Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity, by Serafin Grundl and Yu Zhu
- Note
- "May 2016."
- Bibliography note
- Includes bibliographical references (p. 45-50)
- Carrier category
- online resource
- Carrier MARC source
- rdacarrier
- Color
- multicolored
- Content category
- text
- Content type MARC source
- rdacontent
- Dimensions
- unknown
- Extent
- 1 electronic text (iv, 67 pages).
- Form of item
- online
- Media category
- electronic
- Media MARC source
- isbdmedia
- Publisher number
- 10050652
- Specific material designation
- remote
- System control number
-
- (CaOODSP)9.817444
- (OOCEL)10050652
- System details
- Mode of access: World Wide Web
- Type of computer file
- Electronic monograph in PDF format.
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Archives and Special CollectionsBorrow it25 Chancellors Circle (Elizabeth Dafoe Library), Room 330, Winnipeg, MB, R3T 2N2, CA49.809961 -97.131878
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Donald W. Craik Engineering LibraryBorrow it75B Chancellors Circle (Engineering Building E3), Room 361, Winnipeg, MB, R3T 2N2, CA49.809053 -97.133292
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Libraries Annex (not open to the public; please see web page for details)Borrow it25 Chancellors Circle (in the Elizabeth Dafoe Library), Winnipeg, MB, R3T 2N2, CA49.809961 -97.131878
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.lib.umanitoba.ca/portal/Identification-and-estimation-of-risk-aversion-in/8tuziOHfsSg/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.lib.umanitoba.ca/portal/Identification-and-estimation-of-risk-aversion-in/8tuziOHfsSg/">Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity, by Serafin Grundl and Yu Zhu</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.lib.umanitoba.ca/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.lib.umanitoba.ca/">University of Manitoba Libraries</a></span></span></span></span></div>
