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The ET interview: professor David F. Hendry

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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.

Suggested Citation

  • Neil R. Ericsson, 2004. "The ET interview: professor David F. Hendry," International Finance Discussion Papers 811, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgif:811
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    References listed on IDEAS

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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. 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.
    2. Duo Qin, 2019. "Let’s take the bias out of econometrics," Journal of Economic Methodology, Taylor & Francis Journals, vol. 26(2), pages 81-98, April.
    3. Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
    4. Steve Cook, 2016. "Modern econometrics: Structuring delivery and assessment," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1152705-115, December.
    5. 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.
    6. 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.
    7. 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.).
    8. 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.
    9. repec:hal:journl:dumas-00906285 is not listed on IDEAS
    10. Qin, Duo, 2014. "Resurgence of instrument variable estimation and fallacy of endogeneity," Economics Discussion Papers 2014-42, Kiel Institute for the World Economy (IfW Kiel).

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    Keywords

    Hendry; David F.; Econometrics;
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