Arbeitspapier
Testing for the Lucas Critique: A Quantitative Investigation
In this paper, I try to shed some new light on the puzzle why the Lucas critique, belived to be important by most economists, seems to have received very little empirical support. I use a real business cycle model to examine the properties of the super exogeneity test, which is used to detect the applicability of the Lucas critique in practice. The results suggest that the super exogeneity test is not capable of detecting the relevance of Lucas critique in practice in small samples.
- Language
-
Englisch
- Bibliographic citation
-
Series: Sveriges Riksbank Working Paper Series ; No. 113
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Evaluation, Validation, and Selection
Demand for Money
- Subject
-
Lucas critique
Real business cycle model
Super exogeneity test
Taylor rules
Money demand
Consumption function
- Event
-
Geistige Schöpfung
- (who)
-
Lindé, Jesper
- Event
-
Veröffentlichung
- (who)
-
Sveriges Riksbank
- (where)
-
Stockholm
- (when)
-
2000
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Lindé, Jesper
- Sveriges Riksbank
Time of origin
- 2000
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