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 1116.
Date of creation: Dec 2011
Date of revision:
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DSGE; Partially Observable Markov Decision Process (POMDP); Observation Channel; Kalman filter.;
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