This paper studies the nonparametric identification of the first-price auction model with risk averse bidders within the private value paradigm. First, we show that the benchmark model is nonindentified from observed bids. We also derive the restrictions imposed by the model on observables and...

The author demonstrates that despite variables that are integrated, the fundamental issues on structural equation modeling raised by the Cowles Commission remain valid and standard estimation and testing procedures can still be applied. A basic framework linking the multiple time series model...