WorldCat Identities

Hendry, David F.

Overview
Works: 309 works in 958 publications in 6 languages and 10,651 library holdings
Genres: History 
Roles: Author, Editor, Other, Honoree, Dedicatee, Creator
Publication Timeline
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Most widely held works about David F Hendry
 
Most widely held works by David F Hendry
Forecasting non-stationary economic time series by Michael P Clements( )

24 editions published between 1999 and 2001 in English and Undetermined and held by 2,087 WorldCat member libraries worldwide

They then consider various approaches for avoiding systematic forecasting errors, including intercept corrections, differencing, co-breaking, 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 model-based policy analyses."--Jacket
Empirical model discovery and theory evaluation : automatic selection methods in econometrics by David F Hendry( )

10 editions published between 2014 and 2015 in English and held by 1,024 WorldCat member libraries worldwide

"Economic models of empirical phenomena are developed for a variety of reasons, the most obvious of which is the numerical characterization of available evidence, in a suitably parsimonious form. Another is to test a theory, or evaluate it against the evidence; still another is to forecast future outcomes. Building such models involves a multitude of decisions, and the large number of features that need to be taken into account can overwhelm the researcher. Automatic model selection, which draws on recent advances in computation and search algorithms, can create, and then empirically investigate, a vastly wider range of possibilities than even the greatest expert. In this book, leading econometricians David Hendry and Jurgen Doornik report on their several decades of innovative research on automatic model selection. After introducing the principles of empirical model discovery and the role of model selection, Hendry and Doornik outline the stages of developing a viable model of a complicated evolving process. They discuss the discovery stages in detail, considering both the theory of model selection and the performance of several algorithms. They describe extensions to tackling outliers and multiple breaks, leading to the general case of more candidate variables than observations. Finally, they briefly consider selecting models specifically for forecasting"--Jacket
Understanding economic forecasts by David F Hendry( Book )

25 editions published between 2001 and 2003 in 3 languages and held by 755 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 )

42 editions published between 1992 and 2008 in English and held by 749 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/Econometrics-David-F-Hendry/9781557862648 (May 2, 2016)
A companion to economic forecasting by Michael P Clements( )

35 editions published between 2001 and 2008 in English and held by 714 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 up-to-date 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
Dynamic econometrics by David F Hendry( Book )

40 editions published between 1994 and 2009 in 3 languages and held by 620 WorldCat member libraries worldwide

Dynamic Econometrics presents a systematic and operational approach to econometric modelling, based on the outcome of a twenty-year 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 macro-econometrics. 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
The foundations of econometric analysis by David F Hendry( Book )

31 editions published between 1994 and 1997 in English and Norwegian and held by 574 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 non-specialists. 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 stand-alone and synthetic account of the development of econometrics
Forecasting economic time series by Michael P Clements( Book )

27 editions published between 1998 and 2011 in English and held by 532 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 non-constant, 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 constant-parameter stationary processes and correctly-specified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are mis-specified in unknown ways for non-stationary 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 re-established as a method for achieving robustness against forms of structural change, and measures of forecast accuracy re-interpreted
Econometrics and quantitative economics by David F Hendry( Book )

14 editions published between 1984 and 1991 in English and Spanish and held by 429 WorldCat member libraries worldwide

Econometric modeling : a likelihood approach by David F Hendry( Book )

12 editions published between 2007 and 2012 in English and Swedish and held by 326 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 likelihood-based 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 self-contained introduction for advanced undergraduate or graduate students. Throughout, data illustrate and motivate the approach, and are available for computer-based 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 methodology and practice of econometrics : a festschrift in honour of David F. Hendry by Jennifer Castle( Book )

18 editions published between 2009 and 2015 in English and held by 305 WorldCat member libraries worldwide

PDF (xii, 451 p.) :
The Oxford handbook of economic forecasting( Book )

12 editions published in 2011 in English and held by 304 WorldCat member libraries worldwide

"This Handbook provides up-to-date coverage of both new and well-established fields in the sphere of economic forecasting. The chapters are written by world experts in their respective fields, and provide authoritative yet accessible accounts of the key concepts, subject matter, and techniques in a number of diverse but related areas."--Publisher's website
Co-integration, error correction, and the econometric analysis of non-stationary data by Anindya Banerjee( )

9 editions published between 1993 and 2003 in English and held by 264 WorldCat member libraries worldwide

Considering the econometric analysis of both stationary and non-stationary processes, which may be linked by equilibrium relationships, this text provides a wide-ranging account of the main tools, techniques, models, concepts, and distributions involved in the modelling of integrated processes
Conditional econometric modelling : an application to new house prices in the United Kingdom by Neil R Ericsson( )

7 editions published in 1985 in English and held by 221 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( )

8 editions published between 1985 and 1987 in English and held by 178 WorldCat member libraries worldwide

The econometrics of economic policy by Anindya Banerjee( Book )

10 editions published between 1900 and 1997 in English and French and held by 141 WorldCat member libraries worldwide

General-to-specific modelling( Book )

11 editions published in 2005 in English and held by 61 WorldCat member libraries worldwide

Constructing historical Euro-zone data by Andreas Beyer( Book )

13 editions published in 2000 in English and held by 49 WorldCat member libraries worldwide

The influence of A.W.H. Phillips on econometrics by David F Hendry( Book )

9 editions published in 1996 in English and held by 44 WorldCat member libraries worldwide

An econometric analysis of money demand in Italy by P Angelini( Book )

6 editions published in 1994 in English and held by 44 WorldCat member libraries worldwide

 
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Forecasting non-stationary economic time series
Covers
Understanding economic forecastsEconometrics : alchemy or science? : essays in econometric methodologyA companion to economic forecastingDynamic econometricsThe foundations of econometric analysisForecasting economic time seriesEconometric modeling : a likelihood approachThe methodology and practice of econometrics : a festschrift in honour of David F. Hendry
Alternative Names
David F. Hendry britischer Ökonometriker

David F. Hendry Brits econoom

David Hendry

Hendry, David.

Hendry, David 1944-

Hendry, David Forbes 1944-

Хендри, Дэвид

데이비드 포브스 헨드리 영국의 계량경제학자

デビッド・ヘンドリー

ヘンドリー, D. F

Languages