Identification of dynamic games with unobserved heterogeneity and multiple equilibria
含不可观测异质性与多重均衡的动态博弈识别
This paper provides sufficient conditions for nonparametrically identifying dynamic games with incomplete information, allowing for multiple equilibria and payoff-relevant unobservables. Our identification involves two steps. We first identify the equilibrium conditional choice probabilities and state transitions using the Markov property and four-period data. The first step of our identification relies on eigenvalue-eigenvector decomposition, and thus incurs the same issue…