Before revision: This paper develops estimation and inference tools for the structural parameter in the dynamic game with a high-dimensional state space under the assumption that the data are generated by a single Markov perfect equilibrium.
After revision: Dynamic discrete choice models often discretize the state vector and restrict its dimension in order to achieve valid inference. I propose a novel two-stage estimator for the set-identified structural parameter that incorporates a high-dimensional state space under the assumption that the data are generated by a single Markov perfect equilibrium.