It is clear that Lucas s

It is clear that Lucas\'s insight was not new, he even suggest its existence on the works of Frank Knight, for instance. Hicks (1936: 241) in his review of the Keynes\'s General Theory, for example, affirmed: “It is unrealistic to assume that an important change in data – say the introduction or extension of a public works policy – will leave expectations unchanged, even immediately”. In addition, according to Fischer (1983: 271): “The general point made by the critique is correct and was known before it was so eloquently and forcefully propounded by Lucas”. In a recent interview, Lucas said that it “was written in the early 70s” and that “its main content was a criticism for specific models”, which “implied an operational way of extrapolating into the future to see what the ‘long run’ would look like”. Despite that, he believes that “the term ‘Lucas critique’ has survived, long after that original context has disappeared”, and that “it has a life of its own and means different things to different people. Sometimes it is used like a cross you are supposed to use to hold off vampires: Just waving it an opponent defeats him. Too much of this, no matter what side you are on, becomes just name calling. (Lucas, 2012). Lucas is suggesting that his critique is a creature that surpassed its own creator. We try to test this hypothesis. Graphic 1 [a and b] presents two pieces of information. The number of papers that cited Lucas (1976a), and the papers that used the term “Lucas\'s critique”. Graphic 1a shows this information from the Google Scholar database, while Graphic 1b, the Jstor database. Both graphics show that until the second half of the 1980s, the citations to Lucas (1976a) were more common than the use of the FK506 “Lucas critique”. From that period onwards, there are more papers that simply use the expression, than directly cite Lucas\'s 1976 paper. This suggests that the Lucas\'s critique is really bigger than Lucas (1976a), the expression became part of economists’ vocabulary, so it can be used without the necessity of explicitly make reference to its original source. As one can freely talk about the “Phillips curve” without citing Phillips (1958), the same is certainly valid for the “Lucas critique”. In another interview, published in 2005, when asked: “How important do you think the ‘Lucas critique’ has been?”, Lucas answered: “I think it has been tremendously important, but it is fading” [LUCAS in Snowdon and Vane (2005: 282)]. Graphic 1a seems to contradict this impression. However, this may show the increase in GS\'s population so we cannot really make such a statement. Jstor, which has a more stable population, show us that, while from 1980 and 1992 the number of yearly citations to Lucas (1976a,b) was in the 20–30 range, from 1993 to 2011, it fell to the 10–20. This may be a signal that Lucas\'s critique was really not as influential as it had been a couple of decades ago, corroborating Lucas\'s impression. Finally, it is worth commenting that the Lucas critique does not seem to have so obvious consequences in empirical terms, albeit its strength has been enormous among economists. Ericsson and Irons (1995, p. 39), for example, in a controversial study concluded that “Lucas critique is a possibility theorem, not an existence theorem” and “an extensive search of the literature reveals virtually no evidence demonstrating the empirical applicability” of it. Asset prices in an exchange economy published in 1978, is now Lucas\'s most influential paper – from our sample – according to WoS and IDEAS. It is not a paper on monetary policy, inflation or unemployment. Instead, it is an exemplar of a contemporaneous paper published by Econometrica, i.e., a work of applied mathematics, dealing with a very pragmatic question. Hall (1996) explains its importance: Before the 1970s, scholars dealing with the question of asset pricing usually relied on partial equilibrium models in their analysis. Then authors like Robert C. Merton in 1973, Mark Rubinstein in 1976, Douglas T. Breeden in 1979 and Lucas developed intertemporal stochastic general equilibrium models in order to improve the understanding about the behavior and predictability of asset prices. This research agenda has a clear relation with Eugene Fama\'s efficient market hypothesis (EMH), developed in the early 1960s. EMH states – roughly – that stock prices, for instance, accurately reflect all the available information about a firm and the economy, and promptly changes when new information emerges. This hypothesis has a relation with the theory that stock prices behave as a random walk process, such that E[P]=P+ɛ. Another hypothesis close to the random walk one is the Martingale difference hypothesis (MDH) which is defined: if Y=X−X then one can say that Y follows a Martingale if E[Y Y, Y, …]=0.