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

William Barnett and Evgeniya Aleksandrovna Duzhak

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 15, 3817-3825

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.

Keywords: Bifurcation; Hopf bifurcation; Euler equations; New-Keynesian macroeconometrics; Bergstrom–Wymer model (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (34)

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Related works:
Working Paper: Non-Robust Dynamic Inferences from Macroeconometric Models: Bifurcation Stratification of Confidence Regions (2007)
Working Paper: Non-Robust Dynamic Inferences from Macroeconometric Models: Bifurcation Stratification of Confidence Regions (2006)
Working Paper: Non-Robust Dynamic Inferences from Macroeconometric Models: Bifurcation Stratification of Confidence Regions (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:15:p:3817-3825

DOI: 10.1016/j.physa.2008.01.045

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