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 2011 ' Sequential action and beliefs under partially observable DSGE environments ' Centre for Dynamic Macroeconomic Analysis, Working Paper , no. 1116 , Centre for Dynamic Macroeconomic Analysis .
Working or discussion paper
Revised and resubmitted at Computational Economics
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