Structural Estimation of the Affiliated Private Value Auction Model

This paper considers the structural estimation of the a#liated private value (APV) model in firstprice sealed-bid auctions. The model allows for bidders' individual e#ciencies and opportunity costs, while permitting dependence among bidders' private values through a#liation. We establish the nonparametric identification of the APV model, characterize its theoretical restrictions, and propose a computationally convenient and consistent two-step nonparametric estimation procedure for estimating the joint private value distribution from observed bids. Using simulated bid data we provide a step by step guide on how to implement our procedure and show the good behavior of our estimator in small sample