Nonparametric Identification of Risk Aversion in First-Price Auctions Under Exclusion Restrictions
研究第一价格拍卖中风险厌恶投标者的非参数识别问题，利用排除限制条件（如外生参与者数量）识别效用函数，并扩展到内生参与等情形。
This paper studies the nonparametric identification of the first-price auction model with risk averse bidders within the private value paradigm. First, we show that the benchmark model is nonindentified from observed bids. We also derive the restrictions imposed by the model on observables and show that these restrictions are weak. Second, we establish the nonparametric identification of the bidders' utility function under exclusion restrictions. Our primary exclusion restriction takes the form of an exogenous bidders' participation, leading to a latent distribution of private values that is independent of the number of bidders. The key idea is to exploit the property that the bid distribution varies with the number of bidders while the private value distribution does not. We then extend these results to endogenous bidders' participation when the exclusion restriction takes the form of instruments that do not affect the bidders' private value distribution. Though derived for a benchmark model, our results extend to more general cases such as a binding reserve price, affiliated private values, and asymmetric bidders. Last, possible estimation methods are proposed. Copyright 2009 The Econometric Society.