Sequential action and beliefs under partially observable DSGE environments
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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.
Kim , S-H 2012 , ' Sequential action and beliefs under partially observable DSGE environments ' Computational Economics , vol 40 , no. 3 , pp. 219-244 . DOI: 10.1007/s10614-012-9323-1
© Springer Science+Business Media New York 2012. The original publication is available at http://www.springerlink.com
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