The Lucas Critique in Practice

摘要: Lucas (1976, p. 41) proposes an explanation for why coefficients in econometric equations might be nonconstant when policy rules change: “[G]iven that the structure of model consists optimal decision economic agents, and vary systematically with changes series relevant to maker, it follows any change will alter models.” Lucas’s critique models focuses on how parameters may enter parametrically into agents’ optimization rules. (1976) considers examples where agents’expectationsof behavior their problem, so relating policymakers’ appear first-order conditions. In essence, issue is whether isolates “invariants” process. Such invariance or autonomy a topic lengthy contentious history econometrics literature: see Haavelmo (1944) Frisch (1948) early discussions Aldrich (1989) extensive historical perspective.