At a high level, it argued that basing predictions on historical data is problematic. The details of the argument are somewhat specific to economics, but the principle is more general. That's also why people recommending stocks say "past performance is no guarantee of future results."
One of the key issues is that circumstances change, and information about such changes will often be external to a data set.
In the Lucas critique, policy changes are an example of this. You can't predict future economic performance based on past economic performance if relevant policies have changed. But any complex situation has such factors that are external to the data that one can easily collect about it.
in psychology there was a time period between ca 1900 to the mid century where behaviourism rose in prominence, which was the paradigm, simplified, that internal processes of the mind are not really interesting, and what matters is rather only the relationship between input and output, treating the mind as a black box of sorts (roughly analog to ML models).
This came under heavy attack during what is called the cognitive revolution, which put focus on understanding mental processes at a structural level (for the reasons outlined in the post above).
Economics went through a similar process. Up until the 70s Keynesianism was very dominant, which mostly focusses on using aggregate economic quantified data, i.e output, unemployment, capital and so on to make policy suggestions. This began to be attacked and supplemented with what's called 'micro-foundations', which aimed to not just look at quantified data, but to model, from the individual up, not just top-down, fundamental behaviour and interaction, i.e the actual entities that generate the aggregate data.
There was also a similar movement to this in linguistics starting (mostly) with Chomsky at about the same time applying the same criticism to how we model language.
At a high level, it argued that basing predictions on historical data is problematic. The details of the argument are somewhat specific to economics, but the principle is more general. That's also why people recommending stocks say "past performance is no guarantee of future results."
One of the key issues is that circumstances change, and information about such changes will often be external to a data set.
In the Lucas critique, policy changes are an example of this. You can't predict future economic performance based on past economic performance if relevant policies have changed. But any complex situation has such factors that are external to the data that one can easily collect about it.