Assess the Goodness of Fit for Risk Aversion Parameter of First Price Auction via Nonparametric Method

摘要：

Traditional approaches estimated the parameter of risk aversion either from real-world auction data or laboratory data, but there is no way to validate how well it was estimated.This paper uses structurally nonparametric method to analyze the goodness of fit for risk aversion parameter via Monte Carlo simulation experiment. Experimental results show that the goodness of fit is quite good. In particular, for five different values of risk aversion parameter, our model independent of the preference of bidders can do a good job when the number of bidders is sufficiently large. Moreover, we find that the risk aversion model is more robust within the independent private value paradigm.

关键词： Risk Aversion Nonparametric Method Monte Carlo Simulation Goodness of Fit

作者: Xin An Shulin Liu Shuo Xu

作者单位: School of International Economics and Trade University of International Business and Economics Beiji Information Technical Supporting Center Institute of Scientific and Technical Information of China B

会议类型: 国际会议

会议名称: The 10th International Conference on Intelligent Technologies(第十届智慧科技国际会议 InTech09)

会议地点: 桂林

会议语种:英文

页码: 334-339

在线出版日期: 2009-12-12（万方平台首次上网日期，不代表论文的发表时间）