Are 'Deep' Parameters Stable? The Lucas Critique as an Empirical Hypothesis
AbstractFor years, the problems associated with the Lucas critique have loomed over empirical macroeconomics. However, relatively little effort has been devoted to testing the empirical importance of this critique. This paper develops a set of tests for small macroeconometric models, especially those used for monetary policy analysis, and implements them on a set of models used extensively in the literature. In particular, I attempt to test the robustness of optimizing versus non-optimizing models to changes in the monetary policy regime.
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 1999 with number 621.
Date of creation: 01 Mar 1999
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- Arturo Estrella & Jeffrey C. Fuhrer, 1999. "Are "deep" parameters stable? the Lucas critique as an empirical hypothesis," Working Papers 99-4, Federal Reserve Bank of Boston.
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