David F. Hendry

University of Oxford - Department of Economics

Manor Road Building

Manor Road

Oxford, OX1 3BJ

United Kingdom

  • University of Oxford - Department of Economics

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SCHOLARLY PAPERS

33

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422

Scholarly Papers (33)

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1.

General-to-Specific Modeling: An Overview and Selected Bibliography

FRB International Finance Discussion Paper No. 838
Number of pages: 94 Posted: 31 Aug 2005
Julia Campos, Neil R. Ericsson and David F. Hendry
University of Salamanca - Department of Economics and Economic History, Board of Governors of the Federal Reserve System and University of Oxford - Department of Economics
Downloads 1,020 (25,180)
Citation 33

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cointegration, conditional models, data mining, diagnostic testing, dynamic specification, econometric methodology, encompassing, equilibrium correction models, error correction models, exogeneity, general-to-specific modeling, model comparison, model design, model evaluation, model selection

2.

Exogeneity, Cointegration, and Economic Policy Analysis

Number of pages: 40 Posted: 14 Aug 1998
Neil R. Ericsson, David F. Hendry and Grayham E. Mizon
Board of Governors of the Federal Reserve System, University of Oxford - Department of Economics and University of Southampton - Division of Economics
Downloads 587 (53,675)
Citation 9

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3.

All Change! The Implications of Non-Stationarity for Empirical Modelling, Forecasting and Policy

Oxford Martin School Policy Paper Series, Forthcoming
Number of pages: 28 Posted: 16 Jan 2017
David F. Hendry and Felix Pretis
University of Oxford - Department of Economics and University of Victoria, Department of Economics
Downloads 388 (88,821)

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nonstationarity, cointegration, location shifts, forecast

4.

Forecasting Economic Aggregates by Disaggregates

Downloads 256 (139,844)
Citation 5

Forecasting Economic Aggregates by Disaggregates

ECB Working Paper No. 589
Number of pages: 53 Posted: 21 Mar 2006
David F. Hendry and Kirstin Hubrich
University of Oxford - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 231 (154,029)

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Disaggregate information, predictability, forecast model selection, VAR, factor models

Forecasting Economic Aggregates by Disaggregates

CEPR Discussion Paper No. 5485
Number of pages: 45 Posted: 11 May 2006
David F. Hendry and Kirstin Hubrich
University of Oxford - Department of Economics and Board of Governors of the Federal Reserve System
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Disaggregate information, factor models, forecast model selection, predictability and VAR

5.

Economic Forecasting: Some Lessons from Recent Research

Number of pages: 38 Posted: 22 Sep 2003
David F. Hendry and Michael P. Clements
University of Oxford - Department of Economics and University of Reading - Henley Business School
Downloads 246 (145,446)

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Forecasting; structural breaks; model selection; forecast-error taxonomy

6.

Economic Forecasting in a Changing World

Capitalism and Society, Vol. 3, Issue 2, Article 1, 2008
Number of pages: 20 Posted: 30 Jan 2013
Michael P. Clements and David F. Hendry
University of Reading - Henley Business School and University of Oxford - Department of Economics
Downloads 180 (194,611)

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7.

John Denis Sargan at the London School of Economics

Cowles Foundation Discussion Paper No. 2082
Number of pages: 21 Posted: 13 Mar 2017
David F. Hendry and Peter C. B. Phillips
University of Oxford - Department of Economics and Yale University - Cowles Foundation
Downloads 153 (223,541)

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John Denis Sargan, London School of Economics, Econometrics, Asymptotic theory, Small-sample distributions, Dynamic models, Autocorrelated errors, Empirical modelling, Doctoral training

8.

Comment on 'Excessive Ambitions' (by Jon Elster)

Capitalism and Society, Vol. 4, Issue 2, Article 6, 2009
Number of pages: 21 Posted: 30 Jan 2013
David F. Hendry
University of Oxford - Department of Economics
Downloads 126 (260,800)

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9.

The Properties of Automatic Gets Modelling

Downloads 87 (335,529)
Citation 63

The Properties of Automatic Gets Modelling

NYU Working Paper No. SC-CFE-05-03
Number of pages: 35 Posted: 07 Nov 2008
David F. Hendry and Martin Krolzig
University of Oxford - Department of Economics and affiliation not provided to SSRN
Downloads 57 (428,569)
Citation 3

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Econometric methodology, model selection, general-to-specific, automatic

The Properties of Automatic Gets Modelling

Number of pages: 30 Posted: 07 Mar 2005
David F. Hendry and Hans-Martin Krolzig
University of Oxford - Department of Economics and Humboldt University of Berlin - Institute for Statistics and Econometrics
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10.

Non-Parametric Direct Multi-Step Estimation for Forecasting Economic Processes

Nuffield College Economics Working Paper No. 2004-W12
Number of pages: 27 Posted: 18 Jun 2004
Guillaume Chevillon and David F. Hendry
ESSEC Business School and University of Oxford - Department of Economics
Downloads 75 (366,088)
Citation 15

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Adaptive estimation, multi-step estimation, dynamic forecasts, model mis-specification

11.

Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate

ECB Working Paper No. 1155
Number of pages: 34 Posted: 10 Mar 2010
David F. Hendry and Kirstin Hubrich
University of Oxford - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 67 (389,396)
Citation 5

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Aggregate forecasts, disaggregate information, forecast combination, inflation

12.

Selecting a Regression Saturated by Indicators

CREATES Research Paper 2007-36
Number of pages: 19 Posted: 24 Jun 2008
Soren Johansen, David F. Hendry and Carlos Santos
University of Copenhagen - Department of Economics, University of Oxford - Department of Economics and affiliation not provided to SSRN
Downloads 42 (480,699)
Citation 1

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Indicators, regression saturation, subset selection, model selection

13.

Regression Models with Data-Based Indicator Variables

Oxford Bulletin of Economics & Statistics, Vol. 67, No. 5, pp. 571-595, October 2005
Number of pages: 25 Posted: 05 Nov 2005
David F. Hendry and Carlos Ferreira dos Santos
University of Oxford - Department of Economics and University of Oxford - Department of Economics
Downloads 38 (498,718)
Citation 1
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14.

The Properties of Model Selection When Retaining Theory Variables

University of Copenhagen Discussion Paper No. 11-25
Number of pages: 5 Posted: 29 Oct 2011
David F. Hendry and Soren Johansen
University of Oxford - Department of Economics and University of Copenhagen - Department of Economics
Downloads 34 (517,932)
Citation 5

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Model selection, theory retention

15.

Modelling Methodology and Forecast Failure

Number of pages: 26 Posted: 05 Feb 2003
Michael P. Clements and David F. Hendry
University of Reading - Henley Business School and University of Oxford - Department of Economics
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16.

Analyzing Differences between Scenarios

Number of pages: 24 Posted: 18 May 2020
David F. Hendry and Felix Pretis
University of Oxford - Department of Economics and University of Victoria, Department of Economics
Downloads 23 (581,162)

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Scenario, Invariance, Projection

17.

The Nobel Memorial Prize for Clive W. J. Granger

Number of pages: 28 Posted: 15 Sep 2004
David F. Hendry
University of Oxford - Department of Economics
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18.

Guest Editors' Introduction: Information in Economic Forecasting

Oxford Bulletin of Economics & Statistics, Vol. 67, No. S1, pp. 713-753, December 2005
Number of pages: 41 Posted: 03 Feb 2006
Michael P. Clements and David F. Hendry
University of Reading - Henley Business School and University of Oxford - Department of Economics
Downloads 21 (594,252)
Citation 2
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19.

Applied Econometrics Without Sinning

Number of pages: 14 Posted: 14 May 2003
David F. Hendry
University of Oxford - Department of Economics
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20.

Pooling of Forecasts

Number of pages: 31 Posted: 21 Jul 2004
David F. Hendry and Michael P. Clements
University of Oxford - Department of Economics and University of Reading - Henley Business School
Downloads 14 (642,234)
Citation 6
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Forecast combination, structural breaks, density forecasts

21.

Evaluating a Model by Forecast Performance

Oxford Bulletin of Economics & Statistics, Vol. 67, No. S1, pp. 931-956, December 2005
Number of pages: 26 Posted: 03 Feb 2006
Michael P. Clements and David F. Hendry
University of Reading - Henley Business School and University of Oxford - Department of Economics
Downloads 13 (649,471)
Citation 1
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22.

We Ran One Regression

Number of pages: 12 Posted: 16 Dec 2004
David F. Hendry and Hans-Martin Krolzig
University of Oxford - Department of Economics and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 13 (649,471)
Citation 1
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23.

Linear Vs. Log-Linear Unit-Root Specification: An Application of Mis-Specification Encompassing

Oxford Bulletin of Economics and Statistics, Vol. 70, Issue s1, pp. 829-847, December 2008
Number of pages: 19 Posted: 02 Dec 2008
Aris Spanos, David F. Hendry and James Reade
Virginia Polytechnic Institute & State University - Department of Economics, University of Oxford - Department of Economics and University of Reading
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24.

The Econometrics of Macroeconomic Forecasting

The Economic Journal, Vol. 107, Issue 444, pp. 1330-1357, 1997
Number of pages: 28 Posted: 02 Feb 2012
David F. Hendry
University of Oxford - Department of Economics
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25.

Log Income vs. Linear Income: An Application of the Encompassing Principle

Oxford Bulletin of Economics and Statistics, Vol. 70, Issue s1, pp. 807-827, December 2008
Number of pages: 21 Posted: 02 Dec 2008
Luigi Ermini and David F. Hendry
University of California, San Diego (UCSD) and University of Oxford - Department of Economics
Downloads 2 (733,003)
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26.

Model Selection in Equations with Many ‘Small’ Effects

Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 1, pp. 6-22, 2013
Number of pages: 17 Posted: 23 Dec 2012
Jennifer L. Castle, Jurgen Doornik and David F. Hendry
University of Oxford, University of Oxford - Nuffield College and University of Oxford - Department of Economics
Downloads 1 (744,969)
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27.

Detecting Volcanic Eruptions in Temperature Reconstructions by Designed Break‐Indicator Saturation

Journal of Economic Surveys, Vol. 30, Issue 3, pp. 403-429, 2016
Number of pages: 27 Posted: 09 Jun 2016
Felix Pretis, Lea Schneider, Jason E. Smerdon and David F. Hendry
University of Victoria, Department of Economics, Johannes Gutenberg University Mainz, Columbia University and University of Oxford - Department of Economics
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Break, Climate, Econometrics, Model Selection, Indicator Saturation, Volcano

28.

Inference in Cointegrating Models: UK M1 Revisited

Journal of Economic Surveys, Vol. 12, Issue 5, pp. 533-572, 1998
Number of pages: 40 Posted: 13 Sep 2012
Jurgen Doornik and David F. Hendry
University of Oxford - Nuffield College and University of Oxford - Department of Economics
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29.

Forecasting with Difference-Stationary and Trend-Stationary Models

Posted: 27 Sep 2001
Michael P. Clements and David F. Hendry
University of Reading - Henley Business School and University of Oxford - Department of Economics

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Forecasting, Trend Stationarity, Difference Stationarity

30.

Encompassing and Rational Expectations: How Sequential Corroboration Can Imply Refutation

Posted: 02 Mar 1999
Neil R. Ericsson and David F. Hendry
Board of Governors of the Federal Reserve System and University of Oxford - Department of Economics

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31.

Friedman and Schwartz (1982) Revisited: Assessing Annual and Phase-Average Models of Money Demand in the United Kingdom

Posted: 08 Sep 1998
Neil R. Ericsson, David F. Hendry and Kevin M. Prestwich
Board of Governors of the Federal Reserve System, University of Oxford - Department of Economics and AMS (American Management Systems, Inc.)

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32.

Exogeneity, Causality, and Co-Breaking in Economic Policy Analysis of a Small Econometric Model of Money in the U.K.

Posted: 08 Sep 1998
David F. Hendry and Grayham E. Mizon
University of Oxford - Department of Economics and University of Southampton - Division of Economics

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33.

The Demand for Broad Money in the United Kingdom, 1878-1993

Scandinavian Journal of Economics, Vol. 100, Issue 1 (1998)
Posted: 24 Feb 1998
Neil R. Ericsson, David F. Hendry and Kevin M. Prestwich
Board of Governors of the Federal Reserve System, University of Oxford - Department of Economics and AMS (American Management Systems, Inc.)

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