Sequential action and beliefs under partially observable DSGE environments

Seong-Hoon Kim

    Research output: Contribution to journalArticlepeer-review


    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 languageEnglish
    Pages (from-to)219-244
    Number of pages26
    JournalComputational Economics
    Issue number3
    Early online date28 Mar 2012
    Publication statusPublished - 2012


    • DSGE
    • Partially Observable Markov Decision Process
    • POMDP
    • Observation channel
    • Kalman filter


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