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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP11237 |
DP11237 The Rational Inattention Filter | |
Bartosz Mackowiak; Filip Matějka; Mirko Wiederholt | |
发表日期 | 2016-04-18 |
出版年 | 2016 |
语种 | 英语 |
摘要 | Dynamic rational inattention problems used to be difficult to solve. This paper provides simple, analytical results for dynamic rational inattention problems. We start from the benchmark rational inattention problem. An agent tracks a variable of interest that follows a Gaussian process. The agent chooses how to pay attention to this variable. The agent aims to minimize, say, the mean squared error subject to a constraint on information flow, as in Sims (2003). We prove that if the variable of interest follows an ARMA(p,q) process, the optimal signal is about a linear combination of {X(t),…,X(t-p+1)} and {e(t),…,e(t-q+1)}, where X(t) denotes the variable of interest and e(t) denotes its period t innovation. The optimal signal weights can be computed from a simple extension of the Kalman filter: the usual Kalman filter equations in combination with first-order conditions for the optimal signal weights. We provide several analytical results regarding those signal weights. We also prove the equivalence of several different formulations of the information flow constraint. We conclude with general equilibrium applications from Macroeconomics. |
主题 | Monetary Economics and Fluctuations |
关键词 | Rational inattention Kalman filter Macroeconomics |
URL | https://cepr.org/publications/dp11237 |
来源智库 | Centre for Economic Policy Research (United Kingdom) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540055 |
推荐引用方式 GB/T 7714 | Bartosz Mackowiak,Filip Matějka,Mirko Wiederholt. DP11237 The Rational Inattention Filter. 2016. |
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