Zadrozny, Peter A. - 2022
policy predictions that satisfy Lucas's critique. If Sims considered directly-est. OVAR eqs. to fit in-sample data adequately …-sample est. XVAR eqs., then, out-of-sample policy predictions of endogenous variables made with OVAR eqs. won't satisfy Lucas …'s critique. If directly-est. OVAR eqs. are RF eqs. of underlying RES eqs., then, identification 2 derived in the paper linearly …