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- W2069719026 abstract "Lucas (1976) argued that the parameters of traditional macroeconometric models depended crucially on agents' expectations and were unlikely to remain stable in a changing economic environment. In response, econometric modeling has focused on the estimation of rational expectations models that have an explicit structural interpretation — Euler equations in particular. Thus, a natural, though little acknowledged, criterion for judging the success of empirical Euler equations is the stability of their ‘deep’, structural parameters. Examining split-sample tests over multiple breakpoints as well as the sequence of subsample model estimates, we find considerable instability in the estimated parameters of a standard Euler equation of investment." @default.
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- W2069719026 date "1996-01-01" @default.
- W2069719026 modified "2023-10-16" @default.
- W2069719026 title "The Lucas critique revisited assessing the stability of empirical Euler equations for investment" @default.
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- W2069719026 doi "https://doi.org/10.1016/0304-4076(94)01693-3" @default.
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