The Lucas critique and the stability of empirical models
用DSGE模型模拟美联储政策规则变化，发现政策转变会导致简化模型系数和误差方差出现结构性断裂，考虑误差方差不稳定后，卢卡斯批判具有经验相关性。
Abstract This paper reconsiders the empirical relevance of the Lucas critique using a DSGE sticky price model in which a weak central bank response to inflation generates equilibrium indeterminacy. The model is calibrated to capture the magnitude of the historical shift in the Federal Reserve's policy rule. Using Monte Carlo simulations and a backward‐looking model of aggregate supply and demand, we find that shifts in the policy rule induce breaks in both the reduced‐form coefficients and the reduced‐form error variances. When the instability of the reduced‐form error variances is accounted for, the Lucas critique is found to be empirically relevant. Copyright © 2009 John Wiley & Sons, Ltd.