Nonparametric Identification of Dynamic Games with Multiple Equilibria and Unobserved Heterogeneity

This paper provides sufficient conditions for non-parametrically identifying dynamic games with incomplete information, allowing for both multiple equilibria and unobserved heterogeneity. The identification proceeds in two steps. The first step mainly involves identifying the equilibrium conditional choice probabilities and the state transitions using results developed in the measurement error literature. The existing measurement error literature relies on monotonicity assumptions to determine the order of the latent types. This paper, in contrast, explores the identification structure to match the order, which is important for identifying the payoff primitives. The second step follows existing literature to identify the payoff parameters based on the equilibrium conditions with exclusion restrictions. Multiple equilibria and unobserved heterogeneity can be distinguished through comparison of payoff primitives.