Structural econometric studies on auctions have mainly focused on the independent private value paradigm. In this paper, we are interested in the opposite case known as the pure common value model. More precisely, we restrict our attention to a class of common value models defined by three functions: the density of the true value of the auctioned good, a unique function that appears in the definition of the conditional densities of the signals, and the function that defines the support of the conditional densities. We establish that these common value models are nonparametrically identified without any further restrictions. We then propose a one-step nonparametric estimation method and prove the uniform consistency of our estimators. We apply our method on simulated data and show that the technique we propose is adequate to recover the distribution functions of interest.
