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http://hdl.handle.net/10023/2744
| 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 . |
| 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 |
| Appears in Collections: | University of St Andrews Research
Economics & Finance Research
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