Testing for the Lucas Critique: A Quantitative Investigation

Jesper Lindé

American Economic Review, 2001, vol. 91, issue 4, 986-1005

Abstract: In this paper, I try to shed some new light on the "puzzle" of why the Lucas critique, believed to be important by most economists, seems to have received very little empirical support. I use a real-business-cycle model to verify that the Lucas critique is quantitatively important in theory, and 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 superexogeneity test is not capable of detecting the relevance of the Lucas critique in practice in small samples.

JEL-codes: C53 E41 E52 (search for similar items in EconPapers)
Date: 2001
Note: DOI: 10.1257/aer.91.4.986
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Citations: View citations in EconPapers (39)

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Working Paper: Testing for the Lucas Critique: A Quantitative Investigation (2000)
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