Multivariate Rational Inattention

• 成果类型: Article
• 署名作者: Miao, Jianjun; Wu, Jieran; Young, Eric R.
• 署名单位: Boston University; Zhejiang University; Zhejiang University; University of Virginia; Federal Reserve System - USA; Federal Reserve Bank - Cleveland
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA18086
• 发表日期: 2022
• 页码: 907-945
• 关键词: attention; DYNAMICS; consumption

摘要

We study optimal control problems in the multivariate linear-quadratic-Gaussian framework under rational inattention. We propose a three-step procedure to solve this problem using semidefinite programming and derive the optimal signal structure without strong prior restrictions. We analyze both the transition dynamics of the optimal posterior covariance matrix and its steady state. We characterize the optimal information structure for some special cases and develop numerical algorithms for general cases. Applying our methods to solve three multivariate economic models, we obtain some results qualitatively different from the literature.