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The ET interview: professor David F. Hendry

Author Info

Listed author(s):
  • Neil R. 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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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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Date of creation: 2004
Handle: RePEc:fip:fedgif:811
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Web page: http://www.federalreserve.gov/

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Keywords: Hendry; David F. ; Econometrics;

This paper has been announced in the following NEP Reports:

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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. Duo Qin, 2015. "Letís Take the Bias Out of Econometrics," Working Papers 192, Department of Economics, SOAS, University of London, UK.
  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. Ericsson, Neil R., 2017. "Economic forecasting in theory and practice: An interview with David F. Hendry," International Journal of Forecasting, Elsevier, vol. 33(2), pages 523-542.
  4. Neil R. Ericsson, 2016. "Economic Forecasting in Theory and Practice: An Interview with David F. Hendry," Working Papers 2016-012, The George Washington University, Department of Economics, Research Program on Forecasting.
  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.
  6. repec:hal:journl:dumas-00906285 is not listed on IDEAS
  7. Uwe Hassler & Jürgen Wolters, 2006. "Autoregressive distributed lag models and cointegration," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 59-74, March.
  8. Qin, Duo, 2014. "Resurgence of instrument variable estimation and fallacy of endogeneity," Economics Discussion Papers 2014-42, Kiel Institute for the World Economy (IfW).
  9. 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.).

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