Bifurcation of Macroeconometric Models and Robustness of Dynamical Inferences

William Barnett and Guo Chen

Foundations and Trends(R) in Econometrics, 2015, vol. 8, issue 1-2, 1-144

Abstract: In systems theory, it is well known that the parameter spaces of dynamical systems are stratified into bifurcation regions, with each supporting a different dynamical solution regime. Some can be stable, with different characteristics, such as monotonic stability, periodic damped stability, or multiperiodic damped stability, and some can be unstable, with different characteristics, such as periodic, multiperiodic, or chaotic unstable dynamics. But in general the existence of bifurcation boundaries is normal and should be expected from most dynamical systems, whether linear or nonlinear. Bifurcation boundaries in parameter space are not evidence of model defect. While existence of such bifurcation boundaries is well known in economic theory, econometricians using macroeconometric models rarely take bifurcation into consideration, when producing policy simulations from macroeconometrics models. Such models are routinely simulated only at the point estimates of the models' parameters.

Keywords: Bifurcation; Dynamical systems; Systems theory; Hopf; Robustness; Dynamical inference; Policy simulations; Econometrics; Macroeconomics (search for similar items in EconPapers)
JEL-codes: C02 C54 C61 E60 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (25)

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Related works:
Working Paper: Bifurcation of Macroeconometric Models and Robustness of Dynamical Inferences (2015)
Working Paper: Bifurcation of macroeconometric models and robustness of dynamical inferences (2015)
Working Paper: Bifurcation of Macroeconometric Models and Robustness of Dynamical Inferences (2015)
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