@article{fbcb4cb457e840d19569e9d326fb7f02,
title = "Testing for risk aversion in first-price sealed-bid auctions",
abstract = "We consider testing for risk aversion in first-price sealed-bid auctions with symmetric bidders and independent private values. We impose several restrictions on the parameter space, which are all implied by Guerre et al. (2009){\textquoteright}s exclusion restriction, and we articulate what restrictions are needed for our test to control the limiting size and to be pointwise consistent. Critical values can be obtained from the standard normal distribution. We also analyze local-power properties and show that our test detects local alternative at the parametric rate.",
author = "Jun, {Sung Jae} and Federico Zincenko",
note = "Funding Information: We thank Victor Aguirregabiria, Keisuke Hirano, Vadim Marmer, Harry Paarsch, Isabelle Perrigne, and Joris Pinkse, as well as the participants at conferences and seminars where this paper was presented: University of Pittsburgh, West Virginia University, Conference on Auctions and Informational Economics (Universit{\'e} Paris-Dauphine), University of Central Florida, Duke, University of Toronto, University of Florida, University College London, and University of Nebraska–Lincoln. We also thank the anonymous referees for their comments and suggestions. Publisher Copyright: {\textcopyright} 2021 Elsevier B.V.",
year = "2022",
month = feb,
doi = "10.1016/j.jeconom.2020.11.015",
language = "English (US)",
volume = "226",
pages = "295--320",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier B.V.",
number = "2",
}