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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 | 2012-06-12T13:31:05Z | |
dc.date.available | 2012-06-12T13:31:05Z | |
dc.date.issued | 2011-12 | |
dc.identifier.citation | 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 . | en |
dc.identifier.other | PURE: 5263355 | |
dc.identifier.other | PURE UUID: d8881139-c48c-4321-a6c5-3867af8ac80e | |
dc.identifier.uri | https://hdl.handle.net/10023/2744 | |
dc.description | Revised and resubmitted at Computational Economics | en |
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 | 33 | |
dc.language.iso | eng | |
dc.publisher | Centre for Dynamic Macroeconomic Analysis | |
dc.relation.ispartofseries | Centre for Dynamic Macroeconomic Analysis, Working Paper | 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 | Working or discussion paper | en |
dc.description.version | Postprint | en |
dc.contributor.institution | University of St Andrews. School of Economics and Finance | en |
dc.identifier.url | http://www.st-andrews.ac.uk/cdma/papers.html | en |
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