Efficient Dynamic Mechanism Design without a Common Prior

We study efficient dynamic mechanism design with independent private values when agents do not share a common prior over the stochastic environment. Each agent privately observes the kernel governing her own type evolution and may hold arbitrary beliefs about others’ kernels. We include kernels in agents’ type spaces and show that the dynamic team mechanism of Athey and Segal (2013) and the dynamic pivot mechanism of Bergemann and Välimäki (2010) implement the socially efficient allocation in periodic ex-post equilibrium. We further show that kernels need be elicited only at the outset and that these mechanisms induce the efficient private acquisition of kernels.