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Unsolved Econometric Problems In Nonlinearity, Chaos, And Bifurcation

Author

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  • William Barnett

    (Department of Economics, University of Kansas)

  • Yijun He

    (Department of Economics, Washington State University)

Abstract

In an attempt to resolve the controversies that exist within the field of economics regarding nonlinearity, chaos, and bifurcation, we investigate the relevancy to these controversies of a controlled competition among nonparametric econometric tests for nonlinearity and chaos, and we also report on our results with experiments using parametric macroeconomic models to investigate the implications of bifurcation for macroeconomic policy. These experiments are part of an ongoing research project. What we find so far is that existing views on nonlinearity, chaos, and bifurcation in economics are based upon oversimplified views that currently neither can be confirmed nor contradicted with empirical results that are now available. Since these issues are deep and difficult, considerably more research is needed before any serious conclusions on the subject can be stated with confidence. This fact is particularly true regarding the relevancy of nonlinearity, chaos, and bifurcation for macroeconomic stabilization policy.

Suggested Citation

  • William Barnett & Yijun He, 2012. "Unsolved Econometric Problems In Nonlinearity, Chaos, And Bifurcation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201231, University of Kansas, Department of Economics, revised Sep 2012.
    • Handle: RePEc:kan:wpaper:201231
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    File URL: http://www2.ku.edu/~kuwpaper/2009Papers/201231.pdf
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    References listed on IDEAS

    as
    1. Serletis, Apostolos & Gogas, Periklis, 1997. "Chaos in East European black market exchange rates," Research in Economics, Elsevier, vol. 51(4), pages 359-385, December.
    2. Melvin J. Hinich, 1982. "Testing For Gaussianity And Linearity Of A Stationary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(3), pages 169-176, May.
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    Cited by:

    1. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets," MPRA Paper 49921, University Library of Munich, Germany.
    2. Marisa Faggini, 2011. "Chaotic Time Series Analysis in Economics: Balance and Perspectives," Working papers 25, Former Department of Economics and Public Finance "G. Prato", University of Torino.

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    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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