Robert Lucas and the twist of modeling methodology. On some econometric methods and problems in New Classical macroeconomics

Sergi, F.

Abstract

The purpose of this contribution to the epistemology and history of recent macroeconomics is to construct a clear understanding of econometric methods and problems in New Classical macroeconomics.

Most historical literature has focused (so far) on theoretical or policy implications of this research program set in motion by Robert Lucas in the early 1970s. On the contrary, the empirical and econometric works of New Classical macroeconomics have received little attention.

I focus especially on the contributions gathered in "Rational Expectations and Econometric Practice", edited in 1981 by Lucas and Thomas Sargent. The main claim of this article is that the publication of this book must be regarded as a turn in macroeconomics, that would bring macroeconometric modeling methodology closer to Lucas's conception of models.

The analysis of the New Classical macroeconometrics through the Lucas methodology allow us to propose an original historical account of the methods presented in "Rational Expectations and Econometric Practice", but also of the problems that flawed this approach.

• Working Paper Type: Working Paper
• Publication Date: Nov 1, 2015
• Publicly Available Date: Jun 5, 2019
• Peer Reviewed: Not Peer Reviewed
• Keywords: history of macroeconomics, Lucas (R. E.), Sargent (T. J.), macroeconometrics, new Classical macroeconomics, philosophy of models
• Public URL: https://uwe-repository.worktribe.com/output/803982
• Publisher URL: ftp://mse.univ-paris1.fr/pub/mse/CES2015/15088.pdf
• Related Public URLs: ftp://mse.univ-paris1.fr/pub/mse/CES2015/15088.pdf