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Dynamic Econometrics in Action: A Biography of David F. Hendry

Author

Listed:
  • Neil R. Ericsson

    (Division of International Finance, Board of Governors of the Federal Reserve System)

Abstract

David Hendry has made-and continues to make-pivotal contributions to the econometrics of empirical economic modeling, economic forecasting, econometrics software, substantive empirical economic model design, and economic policy. This paper reviews his contributions by topic, emphasizing the overlaps between different strands in his research and the importance of real-world problems in motivating that research.

Suggested Citation

  • Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," Working Papers 2021-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    • Handle: RePEc:gwc:wpaper:2021-001
    as

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    File URL: https://www2.gwu.edu/~forcpgm/2021-001.pdf
    File Function: First version, 2021
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    Cited by:

    1. Fakhri J. Hasanov & Elchin Suleymanov & Heyran Aliyeva & Hezi Eynalov & Sa'd Shannak, 2022. "What Drives the Agricultural Growth in Azerbaijan? Insights from Autometrics with Super Saturation," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 70(3), pages 147-174.
    2. Mukhtarov, Shahriyar & Mikayilov, Jeyhun I., 2023. "Could financial development eliminate energy poverty through renewable energy in Poland?," Energy Policy, Elsevier, vol. 182(C).

    More about this item

    Keywords

    cointegration; consumers' expenditure; dynamic specification; equilibrium correction; forecasting; machine learning; model evaluation; money demand; PcGive; structural breaks;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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