Sequential action and beliefs under partially observable DSGE environments

Seong-Hoon Kim

doi:10.1007/s10614-012-9323-1

Sequential action and beliefs under partially observable DSGE environments

Seong-Hoon Kim

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	219-244
Number of pages	26
Journal	Computational Economics
Volume	40
Issue number	3
Early online date	28 Mar 2012
DOIs	https://doi.org/10.1007/s10614-012-9323-1
Publication status	Published - 2012

Keywords

DSGE
Partially Observable Markov Decision Process
POMDP
Observation channel
Kalman filter

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10.1007/s10614-012-9323-1

POMDP DSGE
© Springer Science+Business Media New York 2012. The original publication is available at http://www.springerlink.com
Accepted author manuscript, 823 KB

Cite this

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KW - Observation channel

KW - Kalman filter

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Sequential action and beliefs under partially observable DSGE environments

Abstract

Keywords

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Sequential action and beliefs under partially observable DSGE environments

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