Sequential Action and Beliefs under Partially Observable DSGE Environments
AbstractThis paper introduces a classification of DSGEs from a Markovian perspective, and positions the class of POMDP (Partially Observable Markov DecisionProcess) 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 the equilibrium as a fixed point of an operator that maps what we observe into what we believe.
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Bibliographic InfoPaper provided by Centre for Dynamic Macroeconomic Analysis in its series CDMA Working Paper Series with number 201116.
Date of creation: 15 Dec 2011
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DSGE; Partially Observable Markov Decision Process (POMDP); Observation Channel; Kalman filter.;
Other versions of this item:
- Seong-Hoon Kim, 2012. "Sequential Action and Beliefs Under Partially Observable DSGE Environments," Computational Economics, Society for Computational Economics, vol. 40(3), pages 219-244, October.
- D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
- E13 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Neoclassical
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