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Please use this identifier to cite or link to this item: http://hdl.handle.net/10023/2744
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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: Dec-2011
Citation: Kim , S-H 2011 ' Sequential action and beliefs under partially observable DSGE environments ' Centre for Dynamic Macroeconomic Analysis, Working Paper , no. 1116 , CDMA - CENTRE FOR DYNAMIC MACROECONOMIC ANALYSIS .
Series/Report no.: Centre for Dynamic Macroeconomic Analysis, Working Paper
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
Description: Revised and resubmitted at Computational Economics
URI: http://hdl.handle.net/10023/2744
http://www.st-andrews.ac.uk/cdma/papers.html
Type: Working or discussion paper
Publisher: CDMA - CENTRE FOR DYNAMIC MACROECONOMIC ANALYSIS
Appears in Collections:University of St Andrews Research
Economics & Finance Research



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