Economic Forecasting in Theory and Practice: An Interview with David F. Hendry

43 Pages Posted: 17 Nov 2016

See all articles by Neil R. Ericsson

Neil R. Ericsson

Board of Governors of the Federal Reserve System

Date Written: 2016-11

Abstract

David Hendry has made major contributions to many areas of economic forecasting. He has developed a taxonomy of forecast errors and a theory of unpredictability that have yielded valuable insights into the nature of forecasting. He has also provided new perspectives on many existing forecast techniques, including mean square forecast errors, add factors, leading indicators, pooling of forecasts, and multi-step estimation. In addition, David has developed new forecast tools, such as forecast encompassing; and he has improved existing ones, such as nowcasting and robustification to breaks. This interview for the International Journal of Forecasting explores David Hendry’s research on forecasting.

Keywords: Encompassing, Equilibrium correction models, Error correction, Evaluation, Exogeneity, Forecasting, Modeling, Nowcasting, Parameter constancy, Robustification, Structural breaks

JEL Classification: C53

Suggested Citation

Ericsson, Neil R., Economic Forecasting in Theory and Practice: An Interview with David F. Hendry (2016-11). FRB International Finance Discussion Paper No. 1184, Available at SSRN: https://ssrn.com/abstract=2870323 or http://dx.doi.org/10.17016/IFDP.2016.1184

Neil R. Ericsson (Contact Author)

Board of Governors of the Federal Reserve System ( email )

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