Nonparametric Estimation of Large Auctions with Risk Averse Bidders

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.