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The ET interview: professor David F. Hendry

Author Info

  • 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
Date of revision:
Handle: RePEc:fip:fedgif:811
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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. 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.).
  2. 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.
  3. repec:hal:journl:dumas-00906285 is not listed on IDEAS
  4. Qin, Duo, 2014. "Resurgence of instrument variable estimation and fallacy of endogeneity," Economics Discussion Papers 2014-42, Kiel Institute for the World Economy (IfW).
  5. Boumans, Marcel & Dupont-Kieffer, Ariane, 2011. "A history of the histories of econometrics," MPRA Paper 35744, University Library of Munich, Germany.
  6. 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.
  7. Duo Qin, 2015. "Time to Demystify Endogeneity Bias," Working Papers 192, Department of Economics, SOAS, University of London, UK.

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