In this paper, we formulate and estimate a dynamic auction game where asymmetry is endogenous. The seller sells multiple goods via a sequence of rst price auctions. While bidders are ex-ante symmetric, the rst period winner has an informational advantage in the second period bidding game and becomes a strong bidder. This creates an asymmetric informational toehold in the second stage. This endogenous creation leads to overbidding in the rst period relative to a one period game. We characterize the equilibrium in terms of the observed bid distribution and entry behavior. We suggest a two step estimation procedure to estimate such a dynamic game of creation. The OCS oil tract auctions exhibit one such phenomenon. We apply our method to data on OCS oil tract auctions. We nd that the federal government is only recovering 23% of the strongbuyerswillingness to pay in the second period. Bidders perceive the value of information to be at most 12% of their rst periods informational rent. A new semiparametric structural test cannot reject the hypothesis of the strong bidders informational superiority in the second period and sets it at 18% relative to the weak bidder. We use the estimates to design alternate mechanisms and empirically show that governments revenue increases when the asymmetry is taken into account in allocating the goods. Keywords: Endogenous Toeholds, Dynamic Auction Estimation, Informational Asymmetry, NonParametric Identi cation and Estimation, Value of Information, Test of Asymmetry, Copulas. Sudip_Gupta@isb.edu. I am indebted to Profs Ken Hendricks, Joris Pinkse and Rob Porter for sharing the data used in this paper. For helpful discussions, without implicating I am thankful to Profs. Siddhartha Bandyopadhyay, Juan Carranza,Yeon Koo Che, Sudipto Dasgupta, Phil Haile, Bruce Hansen, Ali Hortacsu, Sergei Izmalkov, Dennis Kristensen, Jon Levin, David Mcadams, Antonio Merlo, Harry Paarsch, Jack Porter, Lucia Quesada, John Rust, Larry Samuelson, Deepayan Sarkara and seminar participants of the 2005 World Congress of the Econometric Society, seminar participants of the Price College of Business, Oklahoma University , Hong Kong University of Science & Technology, Smith College of Business. All remaining errors are my own.