Nathalie Gimenes, Tonghui Qi, Sorawoot Srisuma
arXiv 24 Sep 2025 · Econometrics
arXiv:2509.19945 · PDF · Extracted main text
How sellers choose reserve prices is central to auction theory, and the optimal reserve price depends on the seller's risk attitude. Numerous studies have found that observed reserve prices lie below the optimal level implied by risk-neutral sellers, while the theoretical literature suggests that risk-averse sellers can rationalize these empirical findings. In this paper, we develop an econometric model of ascending auctions with a risk-averse seller under independent private values. We provide primitive conditions for the identification of the Arrow-Pratt measures of risk aversion and an estimator for these measures that is consistent and converges in distribution to a normal distribution at the parametric rate under standard regularity conditions. A Monte Carlo study demonstrates good finite-sample performance of the estimator, and we illustrate the approach using data from foreclosure real estate auctions in S\~{a}o Paulo.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Gimenes, N (2017) Econometrics of ascending auctions by quantile regression self | 1.000 | 9 | 3 | 100% |
| 2 | Chen, X., Linton, O., and van Keilegom, I (2003) Estimation of semiparametric models when the criterion function is not smooth | 0.737 | 3 | 2 | 100% |
| 3 | Andreyanov, P. and Caoui, E. H (2022) Secret reserve prices by uninformed sellers | 0.644 | 2 | 2 | 100% |
| 4 | Athey, S. and Haile, P. A (2002) Identification of standard auction models | 0.644 | 2 | 2 | 100% |
| 5 | Elyakime, B., Laffont, J. J., Loisel, P., and Vuong, Q (1994) First-price sealed-bid auctions with secret reservation prices | 0.644 | 2 | 2 | 100% |
| 6 | Koenker, R. and Bassett, G (1978) Regression quantiles | 0.644 | 2 | 2 | 100% |
| 7 | Krasnokutskaya, E (2011) Identification and estimation of auction models with unobserved heterogeneity | 0.644 | 2 | 2 | 100% |
| 8 | Marmer, V., Shneyerov, A., and Xu, P (2013) What model for entry in first-price auctions? a nonparametric approach | 0.644 | 2 | 2 | 100% |
| 9 | Myerson, R. B (1981) Optimal auction design | 0.644 | 2 | 2 | 100% |
| 10 | Newey, W. K (1994) The asymptotic variance of semiparametric estimators | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 64 scored citations.