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APERIODIC DYNAMICS IN THE BERGSTROM/WYMER MODEL OF THE UNITED KINGDOM

Published online by Cambridge University Press:  01 August 2009

Clifford R. Wymer
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Abstract

Lyapunov exponents may be used to provide information on attractors of nonlinear models and, if strange, their aperiodic dynamics, in much the same way as eigenvalues of a linear model. An advantage of calculating these from an estimated model, rather than calculating the largest ones from a time series, is that economic theory is used to help distinguish between deterministic and stochastic behavior. Estimates of the Bergstrom/Wymer model of the United Kingdom, and of some other models of a similar form, were unstable in a classical sense, to some extent being caused by policy parameters. The Lyapunov exponents show that this model, and variants of it, have strange attractors in the neighborhood of the estimated parameter values and hence are stable but with aperiodic oscillations.

Type
ARTICLES
Information
Econometric Theory , Volume 25 , Issue 4: Bergstrom Memorial Dedication Issue , August 2009 , pp. 1099 - 1111
Copyright
Copyright © Cambridge University Press 2009

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References

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