JSM 2005 - Toronto

Abstract #302495

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Legend: = Applied Session, = Theme Session, = Presenter
Activity Number: 245
Type: Invited
Date/Time: Tuesday, August 9, 2005 : 10:30 AM to 12:20 PM
Sponsor: Business and Economics Statistics Section
Abstract - #302495
Title: Robustness of Inferences to Singularity Bifurcations
Author(s): William A. Barnett*+ and Yijun He
Companies: University of Kansas and Washington State University
Address: Department of Economics, Lawrence, KS, 66045-7585,
Keywords: bifurcation ; robustness ; Euler equations ; singularity ; econometrics ; macroeconomics
Abstract:

Euler equation models represent an important class of macroeconomic systems. Our research on the Leeper and Sims Euler equations macroeconometric model reveals the existence of singularity-induced bifurcations when the model's parameters are within a confidence region about the parameter estimates. Although known to engineers, singularity bifurcation has not been seen in the economics literature. This paper explains singularity-induced bifurcation, its nature, and its identification. It contrasts this class of bifurcations with the more common forms previously encountered within the parameter space of the Bergstrom and Wymer continuous time macroeconometric model of the UK economy. We have found that in each of those models, the point estimates of the parameters are near a bifurcation boundary that intersects the confidence region. Because dynamics are different on each side of a bifurcation boundary, this problem creates a substantial loss in robustness of inferences regarding dynamics.

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