期刊名称：Birkbeck Working Papers in Economics and Finance / School of Economics, Mathematics and Statistics, Birkbeck College
印刷版ISSN：1745-8587
出版年度：2007
卷号：2007
出版社：London University
摘要：We relax the assumption of full information that underlies most dynamic general
equilibrium models, and instead assume agents optimally form estimates of the
states from an incomplete information set. We derive a version of the Kalman
filter that is endogenous to agents' optimising decisions, and state conditions
for its convergence. We show the (restrictive) conditions under which the
endogenous Kalman filter will at least asymptotically reveal the true states. In
general we show that incomplete information can have significant implications
for the time-series properties of economies. We provide a Matlab toolkit which
allows the easy implementation of models with incomplete information.
