Computational Economics

, Volume 40, Issue 3, pp 219–244

Sequential Action and Beliefs Under Partially Observable DSGE Environments

Article

DOI: 10.1007/s10614-012-9323-1

Cite this article as:
Kim, SH. Comput Econ (2012) 40: 219. doi:10.1007/s10614-012-9323-1
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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.

Keywords

DSGEPartially Observable Markov Decision Process (POMDP)Observation channelKalman filter

JEL Classification

C63D58D83E13

Copyright information

© Springer Science+Business Media New York 2012

Authors and Affiliations

  1. 1.School of Economics and FinanceUniversity of St AndrewsFifeUK