We study the identification and estimation of heterogeneous, intertemporal treatment effects (TE) when potential outcomes depend on past treatments. First, applying a dynamic panel data model to observed outcomes, we show that instrument-based GMM estimators, such as Arellano and Bond (1991), converge to a non-convex (negatively weighted) aggregate of TE plus non-vanishing trends. We then provide restrictions on sequential exchangeability (SE) of treatment and TE heterogeneity that reduce the GMM estimand to a convex (positively weighted) aggregate of TE. Second, we introduce an adjusted inverse-propensity-weighted (IPW) estimator for a new notion of average treatment effect (ATE) over past observed treatments. Third, we show that when potential outcomes are generated by dynamic panel data models with homogeneous TE, such GMM estimators converge to causal parameters (even when SE is generically violated without conditioning on individual fixed effects). Finally, we motivate SE and compare it with parallel trends (PT) in various settings with observational data (when treatments are dynamic, rational choices under learning) or experimental data (when treatments are sequentially randomized).