Nonparametric Estimation of Large Auctions with Risk Averse Bidders
研究了Guerre等人(2000)的两步非参数估计方法在存在风险厌恶竞拍者时的稳健性，通过渐近近似和蒙特卡洛实验验证了该方法在竞拍者数量适中时的良好表现。
This article studies the robustness of Guerre et al.'s (2000) two-step nonparametric estimation procedure in a first-price, sealed-bid auction with n (n ≫ 1) risk averse bidders. Based on an asymptotic approximation with precision of order O(n −2) of the intractable equilibrium bidding function, we establish the uniform consistency with rates of convergence of Guerre et al.'s (2000) two-step nonparametric estimator in the presence of risk aversion. Monte Carlo experiments show that the two-step nonparametric estimator performs reasonably well with a moderate number of bidders such as six.