Business Tax Policy, the Lucas Critique, and Lessons from the 1980's
利用1980年代美国商业税收政策的多次重大变化，检验卢卡斯批判的量化重要性，并评估不同投资模型（新古典、Q模型、VAR等）在政策体制变化下的稳定性。
In 1976, Robert published a devastating critique of the then current practice for quantifying the effects of alternative policies. He argued that, in formulating plans, economic agents necessarily look into the future, and thus the decision rules guiding their actions depend on parameters describing the expectations of future variables, as well as parameters of taste and technology. viewed economic policy as the selection of rules that generate the values of policy variables, rather than the selection of arbitrary sequences of policy variables. Thus, any change in policy will systematically alter the structure of econometric (1981, p. 126), and the estimated coefficients in (the then current) consumption, wageprice, or investment models could not be considered structural, that is, invariant to alternative policy regimes. The important and damning implication for policy analysis is that these econometric relationships will prove unstable in precisely those situations in which they are called upon to analyze proposed policies. This paper seeks to exploit the substantial variation in business tax policy during the 1980's to shed some light on the quantitative importance of the Lucas Critique (LC) and to evaluate the ability of explicit theory to enhance econometric analysis. In August of 1981, the economic agenda of the Revolution began to be put in place with the passage of the Economic Recovery Tax Act (ERTA). This was followed by the Tax Equity and Fiscal Responsibility Act of 1982, the Deficit Reduction Act of 1984, and the Tax Reform Act of 1986. Other changes -such as the increase in defense spending and growth of and restrictions on the federal deficit-indicate that expectations of the current and future course of fiscal policy were altered radically during the Reagan Administration. Maintained in this paper is the assumption that these changes in tax and other aspects of fiscal policy can be viewed as an unanticipated change in policy regime. In regard to the 1981 legislation, the Economic Report of the President claimed that [T]his tax policy is a sharp break from the policies of the recent past. It reflects a different understanding of the way tax policy affects the U.S. economy (1982, p. 109). Under the assumption that the 1980's witnessed a fundamental change in the stochastic process characterizing fiscal policy, econometric equations susceptible to the LC should become temporally unstable. Those models that successfully address the LC by isolating expectation parameters should remain stable. The quantitative importance of the LC is evaluated by examining the stability of four different econometric models of business investment that to varying degrees are vulnerable to the LC: the Neoclassical model studied extensively by Robert Hall and Dale Jorgenson (1967), Robert Eisner and M. Ishaq Nadiri (1968), and their numerous collaborators, the Q model associated with James Tobin, the Vector Autoregressive model (VAR-S) -advanced by Christopher Sims (1982), and a Hybrid VAR model (VAR-H) used to study investment by Robert Gordon and John Veitch (1986). Since the four models differ in the extent to which they are guided by explicit theoretical frameworks, these results will also be useful in assessing the impact of economic theory on econometric performance. *University of Chicago, Chicago, IL 60637. I thank Charles Hulten, Robert Lucas, and Allen Sinai for critical comments on a preliminary draft. All errors, omissions, and conclusions remain my sole responsibility.