00000nam 2200000za 4500 9.817444 CaOODSP 20221107142500 cr ||||||||||| 160511s2016 oncd ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-5/2016-23E-PDF Grundl, Serafin. Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity [electronic resource] / by Serafin Grundl and Yu Zhu. [Ottawa] : Bank of Canada, 2016. iv, 67 p. Staff Working Paper, 1701-9397 ; 2016-23 "May 2016." Includes bibliographical references (p. 45-50). 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. gccst Auctions gccst Statistical analysis Zhu, Yu, 1966- Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2016-23 (CaOODSP)9.806221 PDF 1.46 MB https://publications.gc.ca/collections/collection_2016/banque-bank-canada/FB3-5-2016-23-eng.pdf