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Sequential action and beliefs under partially observable DSGE environments
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dc.contributor.author | Kim, Seong-Hoon | |
dc.date.accessioned | 2012-05-10T00:13:50Z | |
dc.date.available | 2012-05-10T00:13:50Z | |
dc.date.issued | 2012 | |
dc.identifier | 20509275 | |
dc.identifier | 61679142-70b5-46bb-b8c8-53738eac9cdb | |
dc.identifier | 84866137574 | |
dc.identifier.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 | en |
dc.identifier.issn | 0927-7099 | |
dc.identifier.uri | https://hdl.handle.net/10023/2599 | |
dc.description.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. | |
dc.format.extent | 26 | |
dc.format.extent | 842981 | |
dc.language.iso | eng | |
dc.relation.ispartof | Computational Economics | en |
dc.subject | DSGE | en |
dc.subject | Partially Observable Markov Decision Process | en |
dc.subject | POMDP | en |
dc.subject | Observation channel | en |
dc.subject | Kalman filter | en |
dc.subject | HB Economic Theory | en |
dc.subject.lcc | HB | en |
dc.title | Sequential action and beliefs under partially observable DSGE environments | en |
dc.type | Journal article | en |
dc.contributor.institution | University of St Andrews. School of Economics and Finance | en |
dc.identifier.doi | https://doi.org/10.1007/s10614-012-9323-1 | |
dc.description.status | Peer reviewed | en |
dc.identifier.url | http://www.springerlink.com/content/m1k22230460815p4/ | en |
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