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We develop sufficient conditions for identification of the deep structural parameters for the case where the per-period utility function ascribed to one choice in the model is parametric but the distribution of unobserved state variables is nonparametric. The proposed identification strategy does not rely on availability of the terminal period data and can therefore be applied to infinite horizon structural dynamic models. Identifying power comes from assuming that the agent\u2019s per-period utilities admit continuous choice-specific state variables that are observed with sufficient variation and satisfy certain conditional independence assumptions on the joint time series of observables. These conditions allow us to formulate exclusion restrictions for identifying the primitive structural functions of the model.<\/jats:p>","DOI":"10.1017\/s0266466616000049","type":"journal-article","created":{"date-parts":[[2016,3,21]],"date-time":"2016-03-21T10:02:23Z","timestamp":1458554543000},"page":"551-577","source":"Crossref","is-referenced-by-count":13,"title":["IDENTIFICATION OF DISCRETE CHOICE DYNAMIC PROGRAMMING MODELS WITH NONPARAMETRIC DISTRIBUTION OF UNOBSERVABLES"],"prefix":"10.1017","volume":"33","author":[{"given":"Le-Yu","family":"Chen","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2016,3,21]]},"reference":[{"key":"S0266466616000049_ref53","doi-asserted-by":"crossref","first-page":"201","DOI":"10.1016\/S0304-4076(99)00057-3","article-title":"Semiparametric identification and heterogeneity in discrete choice dynamic programming models","volume":"96","author":"Taber","year":"2000","journal-title":"Journal of Econometrics"},{"key":"S0266466616000049_ref36","doi-asserted-by":"crossref","first-page":"1315","DOI":"10.2307\/2938369","article-title":"Semiparametric estimation of monotone and concave utility functions for polychotomous choice models","volume":"59","author":"Matzkin","year":"1991","journal-title":"Econometrica"},{"key":"S0266466616000049_ref12","doi-asserted-by":"crossref","first-page":"165","DOI":"10.1137\/1009030","article-title":"Contraction mappings in the theory underlying dynamic programming","volume":"9","author":"Denardo","year":"1967","journal-title":"SIAM Review"},{"key":"S0266466616000049_ref4","doi-asserted-by":"crossref","first-page":"38","DOI":"10.1016\/j.jeconom.2009.09.007","article-title":"Dynamic discrete choice structural models: A survey","volume":"156","author":"Aguirregabiria","year":"2010","journal-title":"Journal of Econometrics"},{"key":"S0266466616000049_ref15","doi-asserted-by":"crossref","first-page":"347","DOI":"10.1007\/s10683-005-5374-7","article-title":"Regular quantal response equilibrium","volume":"8","author":"Goeree","year":"2005","journal-title":"Experimental Economics"},{"key":"S0266466616000049_ref51","doi-asserted-by":"crossref","first-page":"521","DOI":"10.1017\/S0266466614000437","article-title":"Identification in discrete Markov decision models","volume":"31","author":"Srisuma","year":"2015","journal-title":"Econometric Theory"},{"key":"S0266466616000049_ref18","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1017\/S0266466600007301","article-title":"Optimal rates of convergence of parameter estimators in the binary response model with weak distributional assumptions","volume":"9","author":"Horowitz","year":"1993","journal-title":"Econometric Theory"},{"key":"S0266466616000049_ref48","doi-asserted-by":"crossref","unstructured":"Sanches, F.A.M. , Silva-Junior, D. , & Srisuma, S. 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