Hendry, David F.
Overview
Works:  265 works in 868 publications in 6 languages and 10,301 library holdings 

Genres:  History 
Roles:  Author, Editor, Honoree, Other, Creator, Dedicatee 
Classifications:  HB141, 330.015195 
Publication Timeline
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Most widely held works about
David F Hendry
 The econometrics of the holy grail : a critique by Hugo A Keuzenkamp( Book )
Most widely held works by
David F Hendry
Understanding economic forecasts by
David F Hendry(
Book
)
22 editions published between 2001 and 2003 in 3 languages and held by 717 WorldCat member libraries worldwide
In this book academic specialists, practitioners, and a financial journalist explain these new developments in economic forecasting. The authors discuss how forecasting is conducted, evaluated, reported, and applied by academic, private, and governmental bodies, as well as how forecasting might be taught and what costs are induced by forecast errors. They also describe how econometric models for forecasting are constructed, how properties of forecasting methods can be analyzed, and what the future of economic forecasting may bring
22 editions published between 2001 and 2003 in 3 languages and held by 717 WorldCat member libraries worldwide
In this book academic specialists, practitioners, and a financial journalist explain these new developments in economic forecasting. The authors discuss how forecasting is conducted, evaluated, reported, and applied by academic, private, and governmental bodies, as well as how forecasting might be taught and what costs are induced by forecast errors. They also describe how econometric models for forecasting are constructed, how properties of forecasting methods can be analyzed, and what the future of economic forecasting may bring
Econometrics : alchemy or science? : essays in econometric methodology by
David F Hendry(
Book
)
39 editions published between 1992 and 2000 in English and Undetermined and held by 622 WorldCat member libraries worldwide
This volume draws together David Hendry's work on econometrics, tracing the main steps through which he has evolved his theories. Both destructive and contructive criticisms of methods are offered then critically evaluated, using theoretical economic and econometric analyses, empirical applications and Monte Carlo simulations. Empirical studies are used as the vehicle for the exposition and analysis of practical problems like collinearity, seasonality, autocorrelation, simultaneity, parameter constancy and data modelling.  Description from https://www.bookdepository.com/EconometricsDavidFHendry/9781557862648 (May 2, 2016)
39 editions published between 1992 and 2000 in English and Undetermined and held by 622 WorldCat member libraries worldwide
This volume draws together David Hendry's work on econometrics, tracing the main steps through which he has evolved his theories. Both destructive and contructive criticisms of methods are offered then critically evaluated, using theoretical economic and econometric analyses, empirical applications and Monte Carlo simulations. Empirical studies are used as the vehicle for the exposition and analysis of practical problems like collinearity, seasonality, autocorrelation, simultaneity, parameter constancy and data modelling.  Description from https://www.bookdepository.com/EconometricsDavidFHendry/9781557862648 (May 2, 2016)
The foundations of econometric analysis(
Book
)
26 editions published between 1994 and 1997 in English and Norwegian and held by 544 WorldCat member libraries worldwide
In this compelling book, David Hendry and Mary Morgan bring together the classic papers of the pioneer econometricians, some of which have never been published before. Together, these papers form the foundations of econometric thought. They are essential reading for anyone seeking to understand the aims, method and methodology of econometrics and the development of this statistical approach in economics. However, because they are technically straightforward, the book is also accessible to students and nonspecialists. An editorial commentary places the readings in their historical context and indicates the continuing relevance of these early, yet highly sophisticated, works for current econometric analysis. While this book provides a companion volume to Mary Morgan's acclaimed The History of Econometric Ideas, the editors' commentary both adds to that earlier volume and also provides a standalone and synthetic account of the development of econometrics
26 editions published between 1994 and 1997 in English and Norwegian and held by 544 WorldCat member libraries worldwide
In this compelling book, David Hendry and Mary Morgan bring together the classic papers of the pioneer econometricians, some of which have never been published before. Together, these papers form the foundations of econometric thought. They are essential reading for anyone seeking to understand the aims, method and methodology of econometrics and the development of this statistical approach in economics. However, because they are technically straightforward, the book is also accessible to students and nonspecialists. An editorial commentary places the readings in their historical context and indicates the continuing relevance of these early, yet highly sophisticated, works for current econometric analysis. While this book provides a companion volume to Mary Morgan's acclaimed The History of Econometric Ideas, the editors' commentary both adds to that earlier volume and also provides a standalone and synthetic account of the development of econometrics
Dynamic econometrics by
David F Hendry(
Book
)
39 editions published between 1994 and 2009 in 3 languages and held by 514 WorldCat member libraries worldwide
Dynamic Econometrics presents a systematic and operational approach to econometric modelling, based on the outcome of a twentyyear research programme. It addresses the practical difficulties of modelling data when the mechanism is unknown, with theory and evidence interlinked at every stage of the discussion. The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. This book develops an econometric approach which sustains constructive modelling, clarifies the status of empirical econometric models, and formulates structured tools for critically appraising evidence. Professor Hendry deals with methodological issues of model discovery, data mining, and progressive research strategies, and with major tools for modelling (including recursive methods, encompassing, super exogeneity, and invariance tests). In addition, he considers practical problems of collinearity, heteroscedacity, and measurement errors, and includes an extensive study of UK money demand. The book is self contained, with technical background covered in appendices of matrix algebra, probability theory, regression, asymptotic distribution theory, numerical optimization, and macroeconometrics. Mathematical results appear in solved examples and exercises, and live classroom teaching of econometrics via computer demonstrations is stressed. The structure of the book makes it of practical value to economists investigating empirical phenomena, to advanced undergraduate and graduate econometrics students, and to statisticians involved in the analysis of social science time series.  Publisher description
39 editions published between 1994 and 2009 in 3 languages and held by 514 WorldCat member libraries worldwide
Dynamic Econometrics presents a systematic and operational approach to econometric modelling, based on the outcome of a twentyyear research programme. It addresses the practical difficulties of modelling data when the mechanism is unknown, with theory and evidence interlinked at every stage of the discussion. The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. This book develops an econometric approach which sustains constructive modelling, clarifies the status of empirical econometric models, and formulates structured tools for critically appraising evidence. Professor Hendry deals with methodological issues of model discovery, data mining, and progressive research strategies, and with major tools for modelling (including recursive methods, encompassing, super exogeneity, and invariance tests). In addition, he considers practical problems of collinearity, heteroscedacity, and measurement errors, and includes an extensive study of UK money demand. The book is self contained, with technical background covered in appendices of matrix algebra, probability theory, regression, asymptotic distribution theory, numerical optimization, and macroeconometrics. Mathematical results appear in solved examples and exercises, and live classroom teaching of econometrics via computer demonstrations is stressed. The structure of the book makes it of practical value to economists investigating empirical phenomena, to advanced undergraduate and graduate econometrics students, and to statisticians involved in the analysis of social science time series.  Publisher description
Forecasting economic time series by
Michael P Clements(
Book
)
22 editions published between 1998 and 2011 in English and held by 497 WorldCat member libraries worldwide
This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a nonconstant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constantparameter stationary processes and correctlyspecified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are misspecified in unknown ways for nonstationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections reestablished as a method for achieving robustness against forms of structural change, and measures of forecast accuracy reinterpreted
22 editions published between 1998 and 2011 in English and held by 497 WorldCat member libraries worldwide
This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a nonconstant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constantparameter stationary processes and correctlyspecified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are misspecified in unknown ways for nonstationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections reestablished as a method for achieving robustness against forms of structural change, and measures of forecast accuracy reinterpreted
Forecasting nonstationary economic time series by
Michael P Clements(
Book
)
24 editions published between 1999 and 2001 in English and held by 448 WorldCat member libraries worldwide
They then consider various approaches for avoiding systematic forecasting errors, including intercept corrections, differencing, cobreaking, and modeling regime shifts; they emphasize the distinction between equilibrium correction (based on cointegration) and error correction (automatically offsetting past errors). Finally, they present three applications to test the implications of their framework. Their results on forecasting have wider implications for the conduct of empirical econometric research, model formulation, the testing of economic hypotheses, and modelbased policy analyses."Jacket
24 editions published between 1999 and 2001 in English and held by 448 WorldCat member libraries worldwide
They then consider various approaches for avoiding systematic forecasting errors, including intercept corrections, differencing, cobreaking, and modeling regime shifts; they emphasize the distinction between equilibrium correction (based on cointegration) and error correction (automatically offsetting past errors). Finally, they present three applications to test the implications of their framework. Their results on forecasting have wider implications for the conduct of empirical econometric research, model formulation, the testing of economic hypotheses, and modelbased policy analyses."Jacket
Econometrics and quantitative economics(
Book
)
12 editions published in 1984 in English and Spanish and held by 435 WorldCat member libraries worldwide
12 editions published in 1984 in English and Spanish and held by 435 WorldCat member libraries worldwide
A companion to economic forecasting by
Michael P Clements(
Book
)
31 editions published between 2002 and 2008 in English and held by 359 WorldCat member libraries worldwide
A Companion to Economic Forecasting provides an accessible and comprehensive account of recent developments in economic forecasting. Each of the chapters has been specially written by an expert in the field, bringing together a range of contrasting approaches and views. Forecasting is a practical venture, so many of the chapters are aimed at practitioners and nonspecialists. This book surveys a field that has expanded rapidly in recent years. There are no other uptodate treatments that survey forecasting in a single volume. The Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed. An extensive editorial overview places the contributions in context, and shows their interconnections and commonalities
31 editions published between 2002 and 2008 in English and held by 359 WorldCat member libraries worldwide
A Companion to Economic Forecasting provides an accessible and comprehensive account of recent developments in economic forecasting. Each of the chapters has been specially written by an expert in the field, bringing together a range of contrasting approaches and views. Forecasting is a practical venture, so many of the chapters are aimed at practitioners and nonspecialists. This book surveys a field that has expanded rapidly in recent years. There are no other uptodate treatments that survey forecasting in a single volume. The Companion provides a comprehensive account of the leading approaches and modeling strategies that are routinely employed. An extensive editorial overview places the contributions in context, and shows their interconnections and commonalities
Econometric modeling : a likelihood approach by
David F Hendry(
Book
)
11 editions published in 2007 in English and Swedish and held by 308 WorldCat member libraries worldwide
Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihoodbased approach of this book gives students the required statistical foundations of estimation and inference, and leads to a thorough understanding of econometric techniques. David Hendry and Bent Nielsen introduce modeling for a range of situations, including binary data sets, multiple regression, and cointegrated systems. In each setting, a statistical model is constructed to explain the observed variation in the data, with estimation and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and economic assumptions can be tested and empirical results interpreted. Important empirical problems such as structural breaks, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied. Econometric Modeling is a selfcontained introduction for advanced undergraduate or graduate students. Throughout, data illustrate and motivate the approach, and are available for computerbased teaching. Technical issues from probability theory and statistical theory are introduced only as needed. Nevertheless, the approach is rigorous, emphasizing the coherent formulation, estimation, and evaluation of econometric models relevant for empirical research.  from back cover
11 editions published in 2007 in English and Swedish and held by 308 WorldCat member libraries worldwide
Econometric Modeling provides a new and stimulating introduction to econometrics, focusing on modeling. The key issue confronting empirical economics is to establish sustainable relationships that are both supported by data and interpretable from economic theory. The unified likelihoodbased approach of this book gives students the required statistical foundations of estimation and inference, and leads to a thorough understanding of econometric techniques. David Hendry and Bent Nielsen introduce modeling for a range of situations, including binary data sets, multiple regression, and cointegrated systems. In each setting, a statistical model is constructed to explain the observed variation in the data, with estimation and inference based on the likelihood function. Substantive issues are always addressed, showing how both statistical and economic assumptions can be tested and empirical results interpreted. Important empirical problems such as structural breaks, forecasting, and model selection are covered, and Monte Carlo simulation is explained and applied. Econometric Modeling is a selfcontained introduction for advanced undergraduate or graduate students. Throughout, data illustrate and motivate the approach, and are available for computerbased teaching. Technical issues from probability theory and statistical theory are introduced only as needed. Nevertheless, the approach is rigorous, emphasizing the coherent formulation, estimation, and evaluation of econometric models relevant for empirical research.  from back cover
The econometrics of economic policy by
Anindya Banerjee(
Book
)
19 editions published between 1996 and 1997 in 3 languages and held by 182 WorldCat member libraries worldwide
19 editions published between 1996 and 1997 in 3 languages and held by 182 WorldCat member libraries worldwide
The methodology and practice of econometrics : a festschrift in honour of David F. Hendry by
Jennifer Castle(
Book
)
16 editions published between 2009 and 2015 in English and Undetermined and held by 180 WorldCat member libraries worldwide
PDF (xii, 451 p.) :
16 editions published between 2009 and 2015 in English and Undetermined and held by 180 WorldCat member libraries worldwide
PDF (xii, 451 p.) :
Empirical model discovery and theory evaluation : automatic selection methods in econometrics by
David F Hendry(
Book
)
9 editions published between 2014 and 2015 in English and held by 177 WorldCat member libraries worldwide
Part I of this volume introduces the notion of empirical model discovery and the role of model selection therein, discusses criteria to evaluate the success of methods for selecting empirical models, and introduces generaltospecific (Gets) approaches and the theory of reduction. It outlines the stages needed to discover a viable model of a complicated evolving process, even when there are more candidate variables than observations. Part II discusses those stages in detail, considering both the theory of model selection and the performance of several algorithms
9 editions published between 2014 and 2015 in English and held by 177 WorldCat member libraries worldwide
Part I of this volume introduces the notion of empirical model discovery and the role of model selection therein, discusses criteria to evaluate the success of methods for selecting empirical models, and introduces generaltospecific (Gets) approaches and the theory of reduction. It outlines the stages needed to discover a viable model of a complicated evolving process, even when there are more candidate variables than observations. Part II discusses those stages in detail, considering both the theory of model selection and the performance of several algorithms
Empirical econometric modelling using PcGive 10, volume I by
Jurgen A Doornik(
Book
)
32 editions published between 2001 and 2009 in English and Undetermined and held by 58 WorldCat member libraries worldwide
32 editions published between 2001 and 2009 in English and Undetermined and held by 58 WorldCat member libraries worldwide
Conditional econometric modelling : an application to new house prices in the United Kingdom by
Neil R Ericsson(
Book
)
6 editions published in 1985 in English and held by 53 WorldCat member libraries worldwide
6 editions published in 1985 in English and held by 53 WorldCat member libraries worldwide
Constructing historical Eurozone data by
Andreas Beyer(
Book
)
11 editions published in 2000 in English and held by 48 WorldCat member libraries worldwide
11 editions published in 2000 in English and held by 48 WorldCat member libraries worldwide
The influence of A.W.H. Phillips on econometrics by
David F Hendry(
Book
)
8 editions published in 1996 in English and held by 44 WorldCat member libraries worldwide
8 editions published in 1996 in English and held by 44 WorldCat member libraries worldwide
Assertion without empirical basis : an econometric appraisal of monetary trends in ... the United Kingdom, by Milton Friedman
and Anna J. Schwartz by
David F Hendry(
Book
)
6 editions published between 1985 and 1987 in English and held by 8 WorldCat member libraries worldwide
6 editions published between 1985 and 1987 in English and held by 8 WorldCat member libraries worldwide
Cointegration, error correction, and the econometric analysis of nonstationary data by
Anindya Banerjee(
Book
)
2 editions published between 1993 and 1994 in English and held by 1 WorldCat member library worldwide
This book is wideranging in its account of literature on cointegration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analyzing such data are relatively new, with few existing expositions of the literature. This book explores relationships among integrated data series and their use in dynamic econometric modelling. The concepts of cointegration and errorcorrection models are fundamental components of the modelling strategy. This area of time series econometrics has grown in importance over the past decade and is of interest to both econometric theorists and applied econometricians. By explaining the important concepts informally and presenting them formally, the book bridges the gap between purely descriptive and purely theoretical accounts of the literature. The work describes the asymptotic theory of integrated processes and uses the tools provided by this theory to develop the distributions of estimators and test statistics. It emphasizes practical modelling advice and the use of techniques for systems estimation. A knowledge of econometrics, statistics, and matrix algebra at the level of a finalyear undergraduate or firstyear undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.  Publisher description
2 editions published between 1993 and 1994 in English and held by 1 WorldCat member library worldwide
This book is wideranging in its account of literature on cointegration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analyzing such data are relatively new, with few existing expositions of the literature. This book explores relationships among integrated data series and their use in dynamic econometric modelling. The concepts of cointegration and errorcorrection models are fundamental components of the modelling strategy. This area of time series econometrics has grown in importance over the past decade and is of interest to both econometric theorists and applied econometricians. By explaining the important concepts informally and presenting them formally, the book bridges the gap between purely descriptive and purely theoretical accounts of the literature. The work describes the asymptotic theory of integrated processes and uses the tools provided by this theory to develop the distributions of estimators and test statistics. It emphasizes practical modelling advice and the use of techniques for systems estimation. A knowledge of econometrics, statistics, and matrix algebra at the level of a finalyear undergraduate or firstyear undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.  Publisher description
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Related Identities
 Clements, Michael P. Author Editor Creator
 Ericsson, Neil R. Other Author Editor
 Doornik, Jurgen A. Author
 Morgan, Mary S. Other Editor
 Board of Governors of the Federal Reserve System (U.S.)
 Wallis, Kenneth Frank Other Editor
 Banerjee, Anindya Author Editor
 Castle, Jennifer 1979 Author Editor
 Shephard, Neil Editor
 Nielsen, Bent 1969
Useful Links
Associated Subjects
Demand for money Demand for moneyMathematical models Econometric models Econometric modelsData processing Econometrics EconometricsComputer programs EconometricsMethodology EconometricsStudy and teaching Economic forecasting Economic forecastingEconometric models Economic forecastingStatistical methods Economic policy Economics Economics, MathematicalData processing EconomicsMathematical models EconomicsStatistical methods Errorcorrecting codes (Information theory) Euro EuropeEuropean Union countries Finance Great Britain Hendry, David F HousingMathematical models Microeconomics Money Money supply Monte Carlo methodComputer programs Taxation Timeseries analysis