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If the researcher is willing to postulate a loss function, our results furthermore allow her to recover an optimal policy rule for that loss. Under our assumptions, the derived counterfactuals and optimal policies are robust to the Lucas critique. We then discuss strategies for applying these insights when only a limited amount of empirical causal evidence on policy shock transmission is available.<\/jats:p>","DOI":"10.3982\/ecta21045","type":"journal-article","created":{"date-parts":[[2023,9,19]],"date-time":"2023-09-19T07:37:51Z","timestamp":1695109071000},"page":"1695-1725","source":"Crossref","is-referenced-by-count":52,"title":["What Can Time\u2010Series Regressions Tell Us About Policy Counterfactuals?"],"prefix":"10.3982","volume":"91","author":[{"given":"Alisdair","family":"McKay","sequence":"first","affiliation":[{"name":"Federal Reserve Bank of Minneapolis"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Christian K.","family":"Wolf","sequence":"additional","affiliation":[{"name":"MIT"},{"name":"NBER"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"2359","published-online":{"date-parts":[[2023]]},"reference":[{"issue":"10","key":"ecta200584-bib-0001","doi-asserted-by":"crossref","first-page":"2802","DOI":"10.1257\/aer.20161852","volume":"108","author":"Antol\u00edn-D\u00edaz","year":"2018","journal-title":"American Economic Review"},{"key":"ecta200584-bib-0002","doi-asserted-by":"crossref","first-page":"798","DOI":"10.1016\/j.jmoneco.2020.06.001","volume":"117","author":"Antolin-Diaz","year":"2021","journal-title":"Journal of Monetary Economics"},{"issue":"1","key":"ecta200584-bib-0003","doi-asserted-by":"crossref","first-page":"94","DOI":"10.1257\/aer.102.1.94","volume":"102","author":"Arkolakis","year":"2012","journal-title":"American Economic Review"},{"key":"ecta200584-bib-0004","unstructured":"Aruoba, S. 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