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Sequential Action and Beliefs Under Partially Observable DSGE Environments

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  • Seong-Hoon Kim

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

Suggested Citation

  • Seong-Hoon Kim, 2012. "Sequential Action and Beliefs Under Partially Observable DSGE Environments," Computational Economics, Springer;Society for Computational Economics, vol. 40(3), pages 219-244, October.
    • Handle: RePEc:kap:compec:v:40:y:2012:i:3:p:219-244
    DOI: 10.1007/s10614-012-9323-1
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    More about this item

    Keywords

    DSGE; Partially Observable Markov Decision Process (POMDP); Observation channel; Kalman filter; C63; D58; D83; E13;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • E13 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Neoclassical

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