Before revision:  The proposed estimator of the identified set converges at the root-N rate to the true identified set and can be used to construct its confidence regions .
After revision:  The proposed estimator of the identified set converges at the root-N rate and I use it to construct confidence regions. The results developed here can be used to incorporate high-dimensional state space into classic dynamic discrete choice models, for example, those considered in Rust (1987), Bajari et al. (2007), and Scott (2013) .