The Lucas critique revisited: Assessing the stability of empirical Euler equations for investment

DOI10.1016/0304-4076(94)01693-3MaRDI QIDQ1906299zbMATH OpenOpenAlexFDO

Authors Stephen D. Oliner, Glenn D. Rudebusch, Daniel Sichel

Publication date 8 April 1996

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(94)01693-3

zbMATH Keywords

business investmentEuler equationsLucas critiquemultiple breakpointsrational expectations modelssplit-sample tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
• Are consumption-based intertemporal capital asset pricing models structural?
• Automatic Lag Selection in Covariance Matrix Estimation
• Econometric Implications of the Rational Expectations Hypothesis
• Efficiency Bounds Implied by Multiperiod Conditional Moment Restrictions
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Generalized method of moments specification testing
• Generalized Predictive Tests and Structural Change Analysis in Econometrics
• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• scientific article; zbMATH DE number 653059 (Why is no real title available?)
• scientific article; zbMATH DE number 3085483 (Why is no real title available?)
• Hypothesis Testing with Efficient Method of Moments Estimation
• Inference in Nonlinear Econometric Models with Structural Change
• Large Sample Properties of Generalized Method of Moments Estimators
• Recursive stability analysis of linear regression relationships. An exploratory methodology
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions

Cited in

(3)

• Estimation and testing of Euler equation models with time-varying reduced-form coefficients
• The Lucas Critique, Policy Invariance and Multiple Equilibria
• Optimal investment with lumpy costs

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