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The ET interview: professor David F. Hendry

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Author Info

  • Neil Ericsson

Abstract

This interview for Econometric Theory explores David Hendry's research. Issues discussed include estimation and inference for nonstationary time series; econometric methodology; strategies, concepts, and criteria for empirical modeling; the general-to-specific approach, as implemented in the computer packages PcGive and PcGets; computer-automated model selection procedures; David's textbook Dynamic Econometrics; Monte Carlo techniques (PcNaive); evaluation of these developments in simulation studies and in empirical investigations of consumer expenditure, money demand, inflation, and the housing and mortgage markets; economic forecasting and policy analysis; the history of econometric thought; and the use of computers for live empirical and Monte Carlo econometrics.

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File URL: http://www.federalreserve.gov/pubs/ifdp/2004/811/default.htm
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File URL: http://www.federalreserve.gov/pubs/ifdp/2004/811/ifdp811.pdf
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Bibliographic Info

Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 811.

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Length:
Date of creation: 2004
Date of revision:
Handle: RePEc:fip:fedgif:811

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Related research

Keywords: Hendry; David F. ; Econometrics;

This paper has been announced in the following NEP Reports:

References

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  1. David F. Hendry, 2001. "Modelling UK inflation, 1875-1991," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 255-275.
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Cited by:
  1. Erich Pinzón Fuchs, 2013. "A critical regard to the history of econometrics," Post-Print dumas-00906285, HAL.
  2. Marcel Boumans & Ariane Dupont-Kieffer, 2011. "A History of the Histories of Econometrics," History of Political Economy, Duke University Press, vol. 43(5), pages 5-31, Supplemen.
  3. Uwe Hassler & Jürgen Wolters, 2006. "Autoregressive distributed lag models and cointegration," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 59-74, March.
  4. Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling Argentine broad money demand," International Finance Discussion Papers 943, Board of Governors of the Federal Reserve System (U.S.).
  5. Duo Qin & Yanqun Zhang, 2013. "A History of Polyvalent Structural Parameters: the Case of Instrument Variable Estimators," Working Papers 183, Department of Economics, SOAS, University of London, UK.

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