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Common values auction models, where bidder decisions depend
on noisy signals of common values, provide predictions about
Bayesian Nash equilibrium (BNE) outcomes. In settings where
these common values can be estimated, these predictions can be
tested. We propose a series of tests, robust to assumptions about
the signal structure, to determine whether the observed data could
have been generated by a Bayesian Nash equilibrium. In the setting
of oil and gas lease auctions in New Mexico, we find evidence that
participation decisions are correlated and that participants system-
atically underbid in light of ex post outcomes.
