Sequential action and beliefs under partially observable DSGE environments
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.
Citation
Kim , S-H 2012 , ' Sequential action and beliefs under partially observable DSGE environments ' , Computational Economics , vol. 40 , no. 3 , pp. 219-244 . https://doi.org/10.1007/s10614-012-9323-1
Publication
Computational Economics
Status
Peer reviewed
ISSN
0927-7099Type
Journal article
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