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Non-robust dynamic inferences from macroeconometric models: Bifurcation stratification of confidence regions

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  • Barnett, William A.
  • Duzhak, Evgeniya Aleksandrovna

Abstract

Grandmont [J.M. Grandmont, On endogenous competitive business cycles, Econometrica 53 (1985) 995–1045] found that the parameter space of the most classical dynamic models is stratified into an infinite number of subsets supporting an infinite number of different kinds of dynamics, from monotonic stability at one extreme to chaos at the other extreme, and with many forms of multiperiodic dynamics in between. The econometric implications of Grandmont’s findings are particularly important, if bifurcation boundaries cross the confidence regions surrounding parameter estimates in policy-relevant models. Stratification of a confidence region into bifurcated subsets seriously damages robustness of dynamical inferences.

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Bibliographic Info

Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 387 (2008)
Issue (Month): 15 ()
Pages: 3817-3825

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Handle: RePEc:eee:phsmap:v:387:y:2008:i:15:p:3817-3825

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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

Related research

Keywords: Bifurcation; Hopf bifurcation; Euler equations; New-Keynesian macroeconometrics; Bergstrom–Wymer model;

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References

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Citations

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Cited by:
  1. William Barnett & Evgeniya Duzhak, 2010. "Empirical assessment of bifurcation regions within New Keynesian models," Economic Theory, Springer, vol. 45(1), pages 99-128, October.
  2. William Barnett & Evgeniya Aleksandrovna Duzhak, 2006. "Non-Robust Dynamic Inferences from Macroeconometric Models: Bifurcation Stratification of Confidence Regions," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200608, University of Kansas, Department of Economics.
  3. Banerjee, Sanjibani & A. Barnett, William & A. Duzhak, Evgeniya & Gopalan, Ramu, 2011. "Bifurcation analysis of Zellner's Marshallian Macroeconomic Model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(9), pages 1577-1585, September.
  4. Barnett, William A. & He, Susan, 2010. "Existence of singularity bifurcation in an Euler-equations model of the United States economy: Grandmont was right," Economic Modelling, Elsevier, vol. 27(6), pages 1345-1354, November.

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