Lubik, Thomas A.; Surico, Paolo - In: Journal of Applied Econometrics 25 (2010) 1, pp. 177-194
This paper reconsiders the empirical relevance of the Lucas critique using a DSGE sticky price model in which a weak … the historical shift in the Federal Reserve's policy rule. Using Monte Carlo simulations and a backward-looking model of … reduced-form error variances. When the instability of the reduced-form error variances is accounted for, the Lucas critique is …