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Title: Sequential action and beliefs under partially observable DSGE environments
Authors: Kim, Seong-Hoon
Keywords: DSGE
Partially Observable Markov Decision Process
POMDP
Observation channel
Kalman filter
HB Economic Theory
Issue Date: 2012
Citation: Kim , S-H 2012 , ' Sequential action and beliefs under partially observable DSGE environments ' Computational Economics , vol 40 , no. 3 , pp. 219-244 .
Abstract: This paper introduces a classification of DSGEs from a Markovian perspective, and positions the class of POMDP (Partially Observable Markov Decision Process) to the center of a generalization of linear rational expectations models. The analysis of the POMDP class builds on the previous development in dynamic controls for linear system, and derives a solution algorithm by formulating an equilibrium as a fixed point of an operator that maps what we observe into what we believe.
Version: Postprint
Status: Peer reviewed
URI: http://hdl.handle.net/10023/2599
http://www.springerlink.com/content/m1k22230460815p4/
DOI: http://dx.doi.org/10.1007/s10614-012-9323-1
ISSN: 0927-7099
Type: Journal article
Rights: © Springer Science+Business Media New York 2012. The original publication is available at http://www.springerlink.com
Appears in Collections:University of St Andrews Research
Economics & Finance Research



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