Sir David F Hendry
274 Stories
University of Oxford
United Kingdom
Economics
All Stories
- Improving models and forecasts after equilibrium-mean shifts
Article
- CAN THE UK ACHIEVE NET ZERO GREENHOUSE GAS EMISSIONS BY 2050?
Article
- What a Puzzle! Unravelling Why UK Phillips Curves were Unstable
Article
- A Brief History of General‐to‐specific Modelling*
- The historical role of energy in UK inflation and productivity with implications for price inflation
- Common volatility shocks driven by the global carbon transition
Article
- Analysing differences between scenarios
- Robust Discovery of Regression Models
Article
- Short-term forecasting of the coronavirus pandemic
Article
- Econometrics for Modelling Climate Change
- Forecasting Facing Economic Shifts, Climate Change and Evolving Pandemics
Article
- Modelling non-stationary ‘Big Data’
- A strategy for achieving net-zero emissions by 2050
Article
- Econometric methods for empirical climate modelling
Article
- Card forecasts for M4
- Climate Econometrics: An Overview
- Deciding between alternative approaches in macroeconomics
- Response to the Discussants of ‘Deciding between alternative approaches in macroeconomics’
Article
- The future of macroeconomics: macro theory and models at the Bank of England
- Evaluating Forecasts, Narratives and Policy Using a Test of Invariance
- Milton Friedman and Data Adjustment
- Evaluating multi-step system forecasts with relatively few forecast-error observations
- The impact of integrated measurement errors on modeling long-run macroeconomic time series
- An Overview of Forecasting Facing Breaks
- Outliers and Model Selection: Discussion of the Paper by Søren Johansen and Bent Nielsen
- DETECTING VOLCANIC ERUPTIONS IN TEMPERATURE RECONSTRUCTIONS BY DESIGNED BREAK-INDICATOR SATURATION
- Improving the teaching of econometrics
- Statistical model selection with ���Big Data���
- Detecting Location Shifts during Model Selection by Step-Indicator Saturation
- Robust approaches to forecasting
- Unpredictability in economic analysis, econometric modeling and forecasting
- Semi-Automatic Nonlinear Model Selection
- MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
- Model selection in under-specified equations facing breaks
- Forecasting by factors, by variables, by both or neither?
- Misspecification Testing: Non-Invariance of Expectations Models of Inflation
- Comment on "Polynomial cointegration tests of anthropogenic impact on global warming" by Beenstock et al. (2012) – some hazards in econometric modelling of climate change
- Econometric Modelling: The ‘Consumption Function’ In Retrospect
- Retrospective on ‘Econometric Modelling: The Consumption Function in Retrospect’,Scottish Journal of Political Economy,30(1983), 193-220'
- Comment on "Polynomial cointegration tests of anthropogenic impact on global warming" by Beenstock et al. (2012) – Some fallacies in econometric modelling of climate change
- Model Selection in Equations with Many ‘Small’ Effects*
- Model selection when there are multiple breaks
- Open-Model Forecast-Error Taxonomies
- Mathematical Models and Economic Forecasting: Some Uses and Mis-Uses of Mathematics in Economics
- Automatic Selection for Non-linear Models
- The Oxford Handbook of Economic Forecasting
- Introduction
- Forecasting Breaks and Forecasting During Breaks
- Forecasting from misspecified Models in the Presence of Unanticipated Location Shifts
- What Needs Rethinking in Macroeconomics?
- Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate
- On adding over-identifying instrumental variables to simultaneous equations
- Evaluating Automatic Model Selection
- Econometric Modelling of Time Series with Outlying Observations
- Revisiting UK consumers’ expenditure: cointegration, breaks and robust forecasts
- A low-dimension portmanteau test for non-linearity
- Forecasting with equilibrium-correction models during structural breaks
- Professor Sir Clive W.J. Granger and Cointegration
- An Automatic Test of Super Exogeneity*
- Nowcasting from disaggregates in the face of location shifts
- OBITUARY
- Nowcasting is not Just Contemporaneous Forecasting
- THE ECONOMETRIC ANALYSIS OF ECONOMIC POLICY
- EXPLORING EQUILIBRIUM RELATIONSHIPS IN ECONOMETRICS THROUGH STATIC MODELS: SOME MONTE CARLO EVIDENCE*
- AN ECONOMETRIC MODEL OF UNITED KINGDOM BUILDING SOCIETIES*
- Model Identification and Nonunique Structure*
- The long-run determinants of UK wages, 1860–2004
- Comment on "Excessive Ambitions" (by Jon Elster)
- Linear vs. Log-linear Unit-Root Specification: An Application of Mis-specification Encompassing*
- Foreword
- Guest Editors’ Introduction to Special Issue on Encompassing
- Log Income vs. Linear Income: An Application of the Encompassing Principle*
- Economic Forecasting in a Changing World
- Automatic selection of indicators in a fully saturated regression
- Elusive return predictability: Discussion
- Chapter 2 Forecasting UK Inflation: The Roles of Structural Breaks and Time Disaggregation
- Chapter 1 Forecasting Annual UK Inflation Using an Econometric Model over 1875–1991
- Automatic selection of indicators in a fully saturated regression
- Co-Breaking
- Foreword
- Robustifying forecasts from equilibrium-correction systems
- A comment on “Specification searches in spatial econometrics: The relevance of Hendry's methodology”
- Chapter 12 Forecasting with Breaks
- Evaluating a Model by Forecast Performance*
- Guest Editors' Introduction: Information in Economic Forecasting
- Regression Models with Data-based Indicator Variables*
- General-to-specific Modeling: An Overview and Selected Bibliography
- Non-parametric direct multi-step estimation for forecasting economic processes
- The Properties of Automatic GETS Modelling*
- A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING
- We Ran One Regression*
- Automatic model selection: a new instrument for social science
- THE ET INTERVIEW: PROFESSOR DAVID F. HENDRY: Interviewed by Neil R. Ericsson
- Pooling of forecasts
- The Nobel Memorial Prize for Clive W. J. Granger
- The ET Interview: Professor David F. Hendry
- A Companion to Economic Forecasting
- A Companion to Economic Forecasting
- John Denis Sargan 1924–1996
- Consistent Model Selection by an Automatic Gets Approach*
- Guest Editors' Introduction: Model Selection and Evaluation in Econometrics
- J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY
- Economic forecasting: some lessons from recent research
- Modelling methodology and forecast failure
- Applied Econometrics without Sinning
- Computationally intensive econometrics using a distributed matrix-programming language
- An Historical Perspective on Forecast Errors
- Forecasting in Econometrics: editors’ introduction
- Computer automation of general-to-specific model selection procedures
- Modelling UK inflation, 1875–1991
- Constructing Historical Euro‐zone Data
- Explaining Cointegration Analysis: Part II
- Achievements and challenges in econometric methodology
- Reconstructing Aggregate Euro-zone Data
- Econometrics: Alchemy or Science?
- Introduction
- Econometrics – Alchemy or Science?
- Monetary Economic Myth and Econometric Reality
- The Structure of Simultaneous Equations Estimators
- Postscript: The Econometrics of PC‐GIVE
- Dynamic Specification
- Exogeneity
- The Econometric Analysis of Economic Time Series
- Econometric Modelling: The ‘Consumption Function’ In Retrospect
- Epilogue: The Success of General‐To‐Specific Model Selection
- On the Time‐Series Approach to Econometric Model Building
- Stochastic Specification in an Aggregate Demand Model of the United Kingdom
- Liquidity and Inflation Effects on Consumers' Expenditure
- Interpreting Econometric Evidence: The Behaviour of Consumers' Expenditure in the United Kingdom
- Predictive Failure and Econometric Modelling in Macroeconomics: The Transactions Demand for Money
- AUTOREG: A Computer Program Library for Dynamic Econometric Models With Autoregressive Errors
- On the Formulation of Empirical Models in Dynamic Econometrics
- An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification
- The influence of A.W. Phillips on econometrics
- On detectable and non-detectable structural change
- Explaining Cointegration Analysis: Part 1
- On winning forecasting competitions in economics
- Encompassing and rational expectations: How sequential corroboration can imply refutation
- Inference in Cointegrating Models: UK M1 Revisited
- The Econometrics Journal of the Royal Economic Society
- Preface
- Common acronyms
- An introduction to forecasting
- First principles
- Evaluating forecast accuracy
- Forecasting in univariate processes
- Monte Carlo techniques
- Combining forecasts
- Testing forecast accuracy
- Forecasting with large-scale macroeconometric models
- A theory of intercept corrections: beyond mechanistic forecasts
- Exogeneity, Cointegration, and Economic Policy Analysis
- Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK
- Friedman and Schwartz (1982) revisited: Assessing annual and phase-average models of money demand in the United Kingdom
- Forecasting economic processes
- The Demand for Broad Money in the United Kingdom, 1878-1993
- Forecasting economic time series
- On congruent econometric relations
- The Econometrics of Macroeconomic Forecasting
- The Econometrics of Macroeconomic Forecasting
- An empirical study of seasonal unit roots in forecasting
- The Implications for Econometric Modelling of Forecast Failure
- John Denis Sargan
- Obituary: John Denis Sargan, 1924-1996
- MULTI‐STEP ESTIMATION FOR FORECASTING
- Encompassing and Specificity
- Intercept corrections and structural change
- An evaluation of forecasting using leading indicators
- Forecasting in macro-economics Michael P. Clements
- Typologies of linear dynamic systems and models
- Cointegration tests in the presence of structural breaks
- Econometrics and Business Cycle Empirics
- Macro-Economic Forecasting and Modelling
- Forecasting in cointegrated systems
- Dynamic Econometrics
- Econometric Concepts
- Introduction
- Likelihood
- Encompassing
- Modelling Issues
- Dynamic Systems
- Econometric Tools and Techniques
- Simultaneous Equations Systems
- Measurement Problems in Econometrics
- Testing and Evaluation
- Econometrics in Action
- Dynamics and Interdependence
- Exogeneity and Causality
- Interpreting Linear Models
- A Typology of Linear Dynamic Equations
- The Theory of Reduction
- The Foundations of Econometric Analysis
- On the interactions of unit roots and exogeneity
- A reply to armstrong and fildes
- Encompassing in stationary linear dynamic models
- Professor H.O.A. Wold: 1908–1992
- MODELLING LINEAR DYNAMIC ECONOMETRIC SYSTEMS
- HUS REVISITED
- On the limitations of comparing mean square forecast errors: A reply
- On the limitations of comparing mean square forecast errors
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- Co‐Integration
- Conclusion
- Testing superexogeneity and invariance in regression models
- Cointegration Tests in the Presence of Structural Breaks
- TESTING INTEGRATION AND COINTEGRATION: AN OVERVIEW
- An econometric analysis of TV advertising expenditure in the United Kingdom
- Testing the lucas critique: A review
- Likelihood Evaluation for Dynamic Latent Variables Models
- The Demand for M1 in the U.S.A., 1960-1988
- PRACTITIONER'S CORNER: Using PC‐NAIVE in Teaching Econometrics
- The response of consumption to income: A cross-country investigation
- Modeling the demand for narrow money in the United Kingdom and the United States
- A Monte Carlo Study of the Effects of Structural Breaks on Tests for Unit Roots
- A Conversation on Econometric Methodology
- An analogue model of phase-averaging procedures
- Encompassing and Rational Expectations: How Sequential Corroboration Can Imply Refutation
- Comment
- A RE-ANALYSIS OF CONFLUENCE ANALYSIS *
- Interpreting Long-Run Equilibrium Solutions in Conventional Macro Models: A Comment
- Encompassing
- Letters to the Editor
- Econometric analysis of small linear systems using PC-FIML
- THE ENCOMPASSING IMPLICATIONS OF FEEDBACK VERSUS FEEDFORWARD MECHANISMS IN ECONOMETRICS *
- Econometrics in action
- Empirical modeling in dynamic econometrics
- ECONOMETRIC MODELLING WITH COINTEGRATED VARIABLES: AN OVERVIEW
- Econometric Evaluation of Linear Macro-Economic Models
- PRACTITIONERS' CORNER: Using PC‐GIVE in Econometrics Teaching
- An excursion into conditional varianceland**
- Assertion without Empirical Basis: An Econometric Appraisal of Monetary Trends in ... the United Kingdom by Milton Friedman and Anna J. Schwartz
- MONETARY ECONOMIC MYTH AND ECONOMETRIC REALITY
- Chapter 16 Monte carlo experimentation in econometrics
- Chapter 18 Dynamic specification
- On High and Low R2 Contributions
- ECONOMETRIC MODELLING: THE "CONSUMPTION FUNCTION" IN RETROSPECT
- Exogeneity
- On Keynesian model building and the rational expectations critique: a question of methodology
- Comment
- On the formulation of empirical models in dynamic econometrics
- A reply to Professors Maasoumi and Phillips
- Comment whither disequilibrium econometrics?
- Interpreting econometric evidence
- Econometrics-Alchemy or Science?
- Autoreg: a computer program library for dynamic econometric models with autoregressive errors
- The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors
- The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems
- Estimating Systems of Dynamic Reduced Form Equations with Vector Autoregressive Errors
- The structure of simultaneous equations estimators
- Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares
- Stochastic Specification in an Aggregate Demand Model of the United Kingdom
- SURVEY OF STUDENT INCOME AND EXPENDITURE AT ABERDEEN UNIVERSITY 1963-64 AND 1964-65
- Foreword by David Hendry
- equilibrium-correction models
- Equilibrium-correction Models
- Forecasting in cointegrated systems
- Forecasting using leading indicators
- Multi-step estimation
- Parsimony
- Postscript
- Glossary
- References
- An Overview of Economic Forecasting
- Explaining Forecast Failure in Macroeconomics
- Sargan, John Denis 1924–1996
- Bridging the Gap: Linking Economics and Econometrics
- Non-Parametric Direct Multi-Step Estimation for Forecasting Economic Processes
- The Properties of Model Selection When Retaining Theory Variables
- Selecting a Regression Saturated by Indicators
- Exogeneity, Cointegration, and Economic Policy Analysis
- Econometric methodology: a personal perspective
- Sargan, John Denis 1924â1996
- Anthropogenic influences on atmospheric CO2
- General-to-Specific Modeling: An Overview and Selected Bibliography