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Identification and Estimation of Risk Aversion in First-Price Auctions with Unobserved Auction Heterogeneity

Staff Working Paper 2016-23 Serafin Grundl, Yu Zhu
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.
Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C14, C5, C57, D, D4, D44, L, L0, L00