David F. Hendry

University of Oxford-Nuffield College

Senior Research Fellow

1 New Road

Oxford, OX1 1nf

United Kingdom

http://https://www.nuffield.ox.ac.uk/

  • University of Oxford-Nuffield College

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    • Tel: +44 1865 278544
    • Fax: +44 1865 278557
SCHOLARLY PAPERS

22

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48

CROSSREF CITATIONS

151

Scholarly Papers (22)

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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-Nuffield College
Downloads 1,257 (28,679)
Citation 39

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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-Nuffield College and University of Southampton - Division of Economics
Downloads 627 (74,355)
Citation 7

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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-Nuffield College and University of Victoria, Department of Economics
Downloads 528 (92,999)

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nonstationarity, cointegration, location shifts, forecast

4.

Forecasting Economic Aggregates by Disaggregates

Downloads 292 (180,032)
Citation 9

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-Nuffield College and Board of Governors of the Federal Reserve System
Downloads 267 (196,984)
Citation 16

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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-Nuffield College and Board of Governors of the Federal Reserve System
Downloads 25 (863,123)
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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-Nuffield College and University of Reading - Henley Business School
Downloads 283 (185,898)

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

6.

The Historical Role of Energy in UK Inflation and Productivity and Implications for Price Inflation in 2022

Number of pages: 25 Posted: 26 Sep 2022
Jennifer L. Castle, David F. Hendry and Andrew B. Martinez
University of Oxford, University of Oxford-Nuffield College and U.S. Department of the Treasury, Office of Macroeconomic Analysis
Downloads 260 (202,445)

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Energy, Inflation, Location Shifts, Indicator Saturation Estimation, Equilibrium Correction

7.

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-Nuffield College
Downloads 229 (230,240)
Citation 1

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8.

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-Nuffield College and University of Auckland Business School
Downloads 168 (304,593)

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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

9.

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-Nuffield College
Downloads 154 (326,195)

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10.

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-Nuffield College and Board of Governors of the Federal Reserve System
Downloads 101 (448,323)
Citation 7

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Aggregate forecasts, disaggregate information, forecast combination, inflation

11.

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-Nuffield College
Downloads 92 (476,613)
Citation 17

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

12.

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-Nuffield College and affiliation not provided to SSRN
Downloads 73 (547,011)
Citation 8

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

13.

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-Nuffield College and affiliation not provided to SSRN
Downloads 67 (577,446)
Citation 3

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Indicators, regression saturation, subset selection, model selection

14.

Analyzing Differences between Scenarios

Number of pages: 24 Posted: 18 May 2020
David F. Hendry and Felix Pretis
University of Oxford-Nuffield College and University of Victoria, Department of Economics
Downloads 55 (631,579)

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Scenario, Invariance, Projection

15.

Five Sensitive Intervention Points to Achieve Climate Neutrality by 2050

Number of pages: 26 Posted: 29 Sep 2022
Jennifer Castle and David F. Hendry
Magdalen College, University of Oxford and University of Oxford-Nuffield College
Downloads 53 (642,474)

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Greenhouse-Gas Emissions, Net-Zero Target, Decarbonizing, Economic Growth, Renewable Electricity Generation

16.

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-Nuffield College and University of Copenhagen - Department of Economics
Downloads 52 (653,554)
Citation 5

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Model selection, theory retention

17.

Quantifying the Uncertainty around Break Dates in Step-Indicator Saturation

Number of pages: 24 Posted: 21 Apr 2023
David F. Hendry and Felix Pretis
University of Oxford-Nuffield College and University of Victoria, Department of Economics
Downloads 43 (708,218)

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Structural break, date, uncertainty, step-indicator saturation, confidence interval

18.

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-Nuffield College

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Forecasting, Trend Stationarity, Difference Stationarity

19.

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-Nuffield College

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20.

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-Nuffield College and AMS (American Management Systems, Inc.)

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21.

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-Nuffield College and University of Southampton - Division of Economics

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22.

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-Nuffield College and AMS (American Management Systems, Inc.)

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