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

  • Barnett, William A.
  • Duzhak, Evgeniya Aleksandrovna

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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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
Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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