Although the possibility of multiple nonlinear equilibria inlinear-quadratic differential games is extensively discussed, the literatureon models with multiple linear Markov perfect equilibria (LMPEs) isscarce. And indeed, almost all papers confined to a single state (a verylarge majority of the...

In this paper we consider the nonparametric identification of Markov dynamic games models in which each firm has its own unobserved state variable, which is persistent over time. This class of models includes most models in the Ericson and Pakes (1995) and Pakes and McGuire (1994) framework. We...