G2TT
来源类型Discussion paper
规范类型论文
来源IDDP11237
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
URLhttps://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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