This paper develops a general framework for models and games, static or dynamic, in which individuals simultaneously make both discrete and continuous choices. The framework incorporates a wide range of unobserved heterogeneity. I show that such models are nonparametrically identified. Based on...

We present a fast and accurate computational method for solving and estimating a class of dynamic programming models with discrete and continuous choice variables. The solution method we develop for structural estimation extends the en- dogenous grid-point method (EGM) to discrete-continuous...