  This paper introduces a version of the interdependent value model of Milgrom
and Weber (1982), where the signals are given by an index gathering signal
shifters observed by the econometrician and private ones specific to each
bidders. The model primitives are shown to be nonparametrically identified from
first-price auction bids under a testable mild rank condition. Identification
holds for all possible signal values. This allows to consider a wide range of
counterfactuals where this is important, as expected revenue in second-price
auction. An estimation procedure is briefly discussed.
