This paper shows that the payoff functions in a class of dynamic games of incomplete information are nonparametrically identified under standard assumptions currently used in applied work. Models of this kind are prevalent in empirical industrial organization where, for example, firms in...

This paper develops methods for estimating dynamic structural microeconomic models with serially correlated latent state variables. The proposed estimators are based on sequential Monte Carlo methods, or particle filters, and simultaneously estimate both the structural parameters and the...