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Are 'Deep' Parameters Stable? The Lucas Critique as an Empirical Hypothesis

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  • Jeff Fuhrer

    (Federal Reserve Bank of Boston)

  • Arturo Estrella

    (Federal Reserve Bank of New York)

Abstract

For 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.

Suggested Citation

  • Jeff Fuhrer & Arturo Estrella, 1999. "Are 'Deep' Parameters Stable? The Lucas Critique as an Empirical Hypothesis," Computing in Economics and Finance 1999 621, Society for Computational Economics.
    • Handle: RePEc:sce:scecf9:621
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    References listed on IDEAS

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