The Et Interview: Professor David F. Hendry

61 Pages Posted: 6 Sep 2004

See all articles by Neil R. Ericsson

Neil R. Ericsson

Board of Governors of the Federal Reserve System

Abstract

This interview for Econometric Theory explores David Hendry's research. Issues discussed include estimation and inference for nonstationary time series; econometric methodology; strategies, concepts, and criteria for empirical modeling; the general-to-specific approach, as implemented in the computer packages PcGive and PcGets; computer-automated model selection procedures; David's textbook Dynamic Econometrics; Monte Carlo techniques (PcNaive); evaluation of these developments in simulation studies and in empirical investigations of consumer expenditure, money demand, inflation, and the housing and mortgage markets; economic forecasting and policy analysis; the history of econometric thought; and the use of computers for live empirical and Monte Carlo econometrics.

Keywords: Cointegration, conditional models, consumers' expenditure, diagnostic testing, dynamic specification, encompassing, equilibrium-correction models, error-correction models, exogeneity, forecasting, general-to-specific modeling, housing market, inflation, model design, model evaluation, money demand

JEL Classification: C1, C5

Suggested Citation

Ericsson, Neil R., The Et Interview: Professor David F. Hendry. Available at SSRN: https://ssrn.com/abstract=585423 or http://dx.doi.org/10.2139/ssrn.585423

Neil R. Ericsson (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States
202-452-3709 (Phone)
202-736-5638 (Fax)

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