Sequential Action and Beliefs Under Partially Observable DSGE Environments

Seong-Hoon Kim

Computational Economics, 2012, vol. 40, issue 3, 219-244

Abstract: This paper introduces a classification of DSGEs from a Markovian perspective, and positions the class of Partially Observable Markov Decision Process (POMDP) 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. Copyright Springer Science+Business Media New York 2012

Keywords: DSGE; Partially Observable Markov Decision Process (POMDP); Observation channel; Kalman filter; C63; D58; D83; E13 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10614-012-9323-1

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