The Et Interview: Professor David F. Hendry
61 Pages Posted: 6 Sep 2004
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: Suggested Citation