Testing for the Lucas Critique: A Quantitative Investigation

Jesper Lindé

No 113, Working Paper Series from Sveriges Riksbank (Central Bank of Sweden)

Abstract: 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.

Keywords: Lucas critique; Real business cycle model; Super exogeneity test; Taylor rules; Money demand; Consumption function (search for similar items in EconPapers)
JEL-codes: C22 C52 E41 (search for similar items in EconPapers)
Date: 2000-11-01
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Published in American Economic Review, 2001, pages 986-1005.

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Related works:
Working Paper: Testing for the Lucas Critique: A Quantitative Investigation (2000)
Journal Article: Testing for the Lucas Critique: A Quantitative Investigation (2001)
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Persistent link: http://EconPapers.repec.org/RePEc:hhs:rbnkwp:0113

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