  In many first-price auctions, bidders face considerable strategic
uncertainty: They cannot perfectly anticipate the other bidders' bidding
behavior. We propose a model in which bidders do not know the entire
distribution of opponent bids but only the expected (winning) bid and lower and
upper bounds on the opponent bids. We characterize the optimal bidding
strategies and prove the existence of equilibrium beliefs. Finally, we apply
the model to estimate the cost distribution in highway procurement auctions and
find good performance out-of-sample.
