Details about David F. Hendry

E-mail:
Phone:	44 1865 278554
Postal address:	Nuffield College Oxford
Workplace:	Department of Economics, Oxford University, (more information at EDIRC)

Access statistics for papers by David F. Hendry.

Last updated 2009-09-25. Update your information in the RePEc Author Service.

Short-id: phe33

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Working Papers

2008

1. Forecasting with Equilibrium-correction Models during Structural Breaks
   Economics Series Working Papers, University of Oxford, Department of Economics
2. The Long-Run Determinants of UK Wages, 1860-2004
   Economics Series Working Papers, University of Oxford, Department of Economics
   See also Journal Article in Journal of Macroeconomics (2009)

2007

3. A Low-Dimension Collinearity-Robust Test for Non-linearity
   Economics Series Working Papers, University of Oxford, Department of Economics
4. AUTOMATIC TESTS FOR SUPER EXOGENEITY
   Documentos de Trabalho em Economia (Working Papers in Economics), Faculdade de Economia e Gestão, Universidade Católica Portuguesa (Porto) View citations
5. Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation
   Economics Series Working Papers, University of Oxford, Department of Economics
6. Selecting a Regression Saturated by Indicators
   Discussion Papers, University of Copenhagen. Department of Economics
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2007)

2006

7. Forecasting Economic Aggregates by Disaggregates
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   Also in Working Paper Series, European Central Bank (2006) View citations

2005

8. Forecasting Aggregates by Disaggregates
   Computing in Economics and Finance 2005, Society for Computational Economics View citations
9. General-to-specific modeling: an overview and selected bibliography
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations

2004

10. Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes
    Economics Series Working Papers, University of Oxford, Department of Economics View citations
    See also Journal Article in International Journal of Forecasting (2005)
11. Regression Models with Data-based Indicator Variables
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
12. Unpredictability and the Foundations of Economic Forecasting
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations

2003

13. Sub-sample Model Selection Procedures in Gets Modelling
    Economics Papers, Economics Group, Nuffield College, University of Oxford
14. The Properties of Automatic Gets Modelling
    Royal Economic Society Annual Conference 2003, Royal Economic Society View citations
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2003) View citations
    See also Journal Article in Economic Journal (2005)

2002

15. Economic Forecasting: Some Lessons from Recent Research
    Royal Economic Society Annual Conference 2002, Royal Economic Society View citations
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2001) View citations
    Economics Series Working Papers, University of Oxford, Department of Economics (2001) View citations
    Working Paper Series, European Central Bank (2001) View citations
    See also Journal Article in Economic Modelling (2003)

2001

16. Forecasting in the Presence of Structural Breaks and Policy Regime Shifts
    Economics Papers, Economics Group, Nuffield College, University of Oxford
17. Model Identification and Non-unique Structure
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
18. Pooling of Forecasts
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
    See also Journal Article in Econometrics Journal (2004)
19. Reformulating Empirical Macro-econometric Modelling
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences View citations

2000

20. A General Forecast-error Taxonomy
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
21. Computer Automation of General-to-Specific Model Selection Procedures
    Economics Series Working Papers, University of Oxford, Department of Economics View citations
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) View citations
    See also Journal Article in Journal of Economic Dynamics and Control (2001)
22. Constructing Historical Euro-Zone Data
    Economics Working Papers, European University Institute View citations
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2000) View citations
    See also Journal Article in Economic Journal (2001)
23. Explaining Cointegration Analysis: Part II
    Discussion Papers, University of Copenhagen. Department of Economics View citations
    See also Journal Article in The Energy Journal (2001)
24. Forecast Failure, Expectations Formation, and the Lucas Critique
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
    See also Journal Article in Annales d'Economie et de Statistique (2002)
25. Forecasting with Difference-Stationary and Trend-Stationary Models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1998)
    See also Journal Article in Econometrics Journal (2001)
26. Modelling UK Inflation over the Long Run
    Economics Series Working Papers, University of Oxford, Department of Economics View citations

1999

27. On Selecting Policy Analysis Models by Forecast Accuracy
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences View citations

1998

28. Exogeneity, cointegration, and economic policy analysis
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Journal of Business & Economic Statistics (1998)

1997

29. The demand for broad money in the United Kingdom, 1878-1993
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
    See also Journal Article in Scandinavian Journal of Economics (1998)

1996

30. Multi-Step Estimation for Forecasting
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1996)
31. The Econometric Analysis of Economic Policy
    Economics Working Papers, European University Institute View citations
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1996)
32. The Influence of A. W. H. Phillips on Econometrics
    Economics Working Papers, European University Institute View citations

1995

33. On the interactions of unit roots and exogeneity
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
    See also Journal Article in Econometric Reviews (1995)

1994

34. An evaluation of forecasting using leading indicators
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations

1993

35. An Econometric Analysis of Money Demand in Italy
    Working Papers, Banca Italia - Servizio di Studi View citations
36. Cointegration tests in the presence of structural breaks
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Journal of Econometrics (1996)
37. Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations

1992

38. Forecasting in Cointegrated Systems
    Economics Series Working Papers, University of Oxford, Department of Economics View citations
39. On the Limitations of Comparing Mean Square Forecast Errors
    Economics Series Working Papers, University of Oxford, Department of Economics View citations

1991

40. Log Income vs. Linear Income: An Application of the Encompassing Principle
    Working Papers, University of Hawaii at Manoa, Department of Economics
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2008)

1990

41. EVALUATING DYNAMIC ECONOMETRIC MODELS BY ENCOMPASSING THE VAR
    Economics Series Working Papers, University of Oxford, Department of Economics View citations
42. Modeling the demand for narrow money in the United Kingdom and the United States
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in European Economic Review (1991)
43. TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS
    Economics Series Working Papers, University of Oxford, Department of Economics View citations
    See also Journal Article in Journal of Econometrics (1993)
44. TESTING THE LUCAS CRITIQUE: A REVIEW
    Economics Series Working Papers, University of Oxford, Department of Economics View citations
    See also Journal Article in Econometric Reviews (1992)

1989

45. An econometric analysis of UK money demand in MONETARY TRENDS IN THE UNITED STATES AND THE UNITED KINGDOM by Milton Friedman and Anna J. Schwartz
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
46. Encompassing and rational expectations: how sequential corroboration can imply refutation
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Empirical Economics (1999)

1987

47. An analogue model of phase-averaging procedures
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Journal of Econometrics (1990)
48. Recent developments in the theory of encompassing
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations

1985

49. Assertion without empirical basis: an econometric appraisal of monetary trends in... the United Kingdom, by Milton Friedman and Anna J. Schwartz
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
50. Conditional econometric modelling: an application to new house prices in the United Kingdom
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
51. Procrustean Econometrics: Stretching and Squeezing Data
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations

1979

52. Exogeneity
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics
    See also Journal Article in Econometrica (1983)

1975

53. A Control Variable Investigation of the Properties of Autoregressive Instrumental Variables Estimators for Dynamic Systems
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
54. Testing Dynamic Specification in Small Simultaneous Systems: An Application to a Model of Building Society Behavior in the United Kingdom
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University View citations
55. The Limiting Distribution of Inconsistent Instrumental Variables Estimators in a Class of Stationary Stochastic Systems
    Cowles Foundation Discussion Papers, Cowles Foundation, Yale University

Undated

56. Beyer-Doornik-Hendry
    Instructional Stata datasets for econometrics, Boston College Department of Economics
57. Computationally-intensive Econometrics using a Distributed Matrix-programming Language
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
58. Log income versus linear income: an application of the encompassing principl
    Economics Papers, Economics Group, Nuffield College, University of Oxford
59. The UK Demand for Broad Money over the Long run
    Economics Papers, Economics Group, Nuffield College, University of Oxford

Journal Articles

2009

1. OBITUARY
   Econometric Theory, 2009, 25, (05), 1139-1142
2. The long-run determinants of UK wages, 1860-2004
   Journal of Macroeconomics, 2009, 31, (1), 5-28 View citations
   See also Working Paper (2008)

2008

3. Automatic selection of indicators in a fully saturated regression
   Computational Statistics, 2008, 23, (2), 337-339 View citations
   Also in Computational Statistics, 2008, 23, (2), 317-335 (2008) View citations
4. Elusive return predictability: Discussion
   International Journal of Forecasting, 2008, 24, (1), 22-28
5. Foreword
   Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 711-714
6. Guest Editors' Introduction to Special Issue on Encompassing
   Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 715-719
7. Linear vs. Log-linear Unit-Root Specification: An Application of Mis-specification Encompassing
   Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 829-847
8. Log Income vs. Linear Income: An Application of the Encompassing Principle
   Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 807-827
   See also Working Paper (1991)

2007

9. Co-Breaking: Recent Advances and a Synopsis of the Literature
   Journal of Business & Economic Statistics, 2007, 25, 33-51 View citations

2006

10. A comment on "Specification searches in spatial econometrics: The relevance of Hendry's methodology"
    Regional Science and Urban Economics, 2006, 36, (2), 309-312 View citations
11. Robustifying forecasts from equilibrium-correction systems
    Journal of Econometrics, 2006, 135, (1-2), 399-426 View citations
12. Saturation in Autoregressive Models
    Notas Económicas, 2006, (24), 8-19

2005

13. A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING
    Econometric Theory, 2005, 21, (01), 278-297 View citations
14. Evaluating a Model by Forecast Performance
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 931-956
15. Guest Editors' Introduction: Information in Economic Forecasting
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 713-753 View citations
16. Non-parametric direct multi-step estimation for forecasting economic processes
    International Journal of Forecasting, 2005, 21, (2), 201-218 View citations
    See also Working Paper (2004)
17. Regression Models with Data-based Indicator Variables
    Oxford Bulletin of Economics and Statistics, 2005, 67, (5), 571-595 View citations
    See also Working Paper (2004)
18. The Properties of Automatic "GETS" Modelling
    Economic Journal, 2005, 115, (502), C32-C61 View citations
    See also Working Paper (2003)

2004

19. Pooling of forecasts
    Econometrics Journal, 2004, 7, (1), 1-31 View citations
    See also Working Paper (2001)
20. The Nobel Memorial Prize for Clive W. J. Granger
    Scandinavian Journal of Economics, 2004, 106, (2), 187-213 View citations
21. We Ran One Regression
    Oxford Bulletin of Economics and Statistics, 2004, 66, (5), 799-810 View citations

2003

22. Consistent Model Selection by an Automatic "Gets" Approach
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 803-819 View citations
23. Economic forecasting: some lessons from recent research
    Economic Modelling, 2003, 20, (2), 301-329 View citations
    See also Working Paper (2002)
24. Guest Editors' Introduction: Model Selection and Evaluation in Econometrics
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 681-688
25. J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY
    Econometric Theory, 2003, 19, (03), 457-480

2002

26. Applied Econometrics without Sinning
    Journal of Economic Surveys, 2002, 16, (4), 591-604
27. Forecast Failure, Expectations Formation and the Lucas Critique
    Annales d'Economie et de Statistique, 2002, (67-68), 02
    See also Working Paper (2000)
28. Modelling methodology and forecast failure
    Econometrics Journal, 2002, 5, (2), 319-344 View citations

2001

29. A special issue in memory of John Denis Sargan: studies in empirical macroeconometrics
    Journal of Applied Econometrics, 2001, 16, (3), 197-202
30. Achievements and challenges in econometric methodology
    Journal of Econometrics, 2001, 100, (1), 7-10 View citations
31. Computer automation of general-to-specific model selection procedures
    Journal of Economic Dynamics and Control, 2001, 25, (6-7), 831-866 View citations
    See also Working Paper (2000)
32. Constructing Historical Euro-Zone Data
    Economic Journal, 2001, 111, (469), F102-21 View citations
    See also Working Paper (2000)
33. Explaining Cointegration Analysis: Part II
    The Energy Journal, 2001, 22, (1), 75-120 View citations
    Also in The Energy Journal, 2000, 21, (1), 1-42 (2000) View citations
    See also Working Paper (2000)
34. Forecasting with difference-stationary and trend-stationary models
    Econometrics Journal, 2001, 4, (1), S1-S19 View citations
    See also Working Paper (2000)
35. Modelling UK inflation, 1875-1991
    Journal of Applied Econometrics, 2001, 16, (3), 255-275 View citations

2000

36. Distinguished Fellow of the Economic Society of Australia, 1999: Adrian R. Pagan
    The Economic Record, 2000, 76, (233), 113-15
37. On detectable and non-detectable structural change
    Structural Change and Economic Dynamics, 2000, 11, (1-2), 45-65 View citations
38. Reconstructing Aggregate Euro-zone Data
    Journal of Common Market Studies, 2000, 38, (4), 613-624 View citations
39. Reformulating Empirical Macroeconomic Modelling
    Oxford Review of Economic Policy, 2000, 16, (4), 138-59 View citations

1999

40. Encompassing and rational expectations: How sequential corroboration can imply refutation
    Empirical Economics, 1999, 24, (1), 1-21 View citations
    See also Working Paper (1989)
41. Improving on 'Data mining reconsidered' by K.D. Hoover and S.J. Perez
    Econometrics Journal, 1999, 2, (2), 202-219 View citations
42. On winning forecasting competitions in economics
    Spanish Economic Review, 1999, 1, (2), 123-160 View citations

1998

43. Exogeneity, Cointegration, and Economic Policy Analysis
    Journal of Business & Economic Statistics, 1998, 16, (4), 370-87 View citations
    See also Working Paper (1998)
44. Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK
    Empirical Economics, 1998, 23, (3), 267-294 View citations
45. Forecasting economic processes
    International Journal of Forecasting, 1998, 14, (1), 111-131 View citations
46. Foreword by the Editors
    Econometrics Journal, 1998, 1, (RegularPapers), i-ii
47. Friedman and Schwartz (1982) revisited: Assessing annual and phase-average models of money demand in the United Kingdom
    Empirical Economics, 1998, 23, (3), 401-415
48. Inference in Cointegrating Models: UK M1 Revisited
    Journal of Economic Surveys, 1998, 12, (5), 533-72 View citations
49. The Demand for Broad Money in the United Kingdom, 1878-1993
    Scandinavian Journal of Economics, 1998, 100, (1), 289-324 View citations
    See also Working Paper (1997)

1997

50. An empirical study of seasonal unit roots in forecasting
    International Journal of Forecasting, 1997, 13, (3), 341-355 View citations
51. John Denis Sargan
    Economic Journal, 1997, 107, (443), 1121-25 View citations
52. On congruent econometric relations: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1997, 47, (1), 163-190 View citations
53. The Econometrics of Macroeconomic Forecasting
    Economic Journal, 1997, 107, (444), 1330-57 View citations
54. The Implications for Econometric Modelling of Forecast Failure
    Scottish Journal of Political Economy, 1997, 44, (4), 437-61 View citations

1996

55. Cointegration tests in the presence of structural breaks
    Journal of Econometrics, 1996, 70, (1), 187-220 View citations
    See also Working Paper (1993)
56. Encompassing and Specificity
    Econometric Theory, 1996, 12, (04), 620-656 View citations
57. Intercept Corrections and Structural Change
    Journal of Applied Econometrics, 1996, 11, (5), 475-94 View citations
58. Multi-step Estimation for Forecasting
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 657-84 View citations
    See also Working Paper (1996)
59. The Econometric Analysis of Economic Policy
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 573-600 View citations
    See also Working Paper (1996)

1995

60. Econometrics and Business Cycle Empirics
    Economic Journal, 1995, 105, (433), 1622-36 View citations
61. Forecasting in Cointegration Systems
    Journal of Applied Econometrics, 1995, 10, (2), 127-46 View citations
62. Macro-economic Forecasting and Modelling
    Economic Journal, 1995, 105, (431), 1001-13 View citations
63. On the interactions of unit roots and exogeneity
    Econometric Reviews, 1995, 14, (4), 383-419 View citations
    See also Working Paper (1995)

1994

64. Can Econometrics Improve Economic Forecasting?
    Swiss Journal of Economics and Statistics (SJES), 1994, 130, (III), 267-298
65. Encompassing in stationary linear dynamic models
    Journal of Econometrics, 1994, 63, (1), 245-270 View citations
66. HUS Revisited
    Oxford Review of Economic Policy, 1994, 10, (2), 86-106 View citations
67. Modelling Linear Dynamic Econometric Systems
    Scottish Journal of Political Economy, 1994, 41, (1), 1-33 View citations
68. Professor H.O.A. Wold: 1908?1992
    Econometric Theory, 1994, 10, (02), 419-433

1993

69. Testing superexogeneity and invariance in regression models
    Journal of Econometrics, 1993, 56, (1-2), 119-139 View citations
    See also Working Paper (1990)
70. The Demand for M1 in the USA: A Reply
    Economic Journal, 1993, 103, (420), 1158-69 View citations

1992

71. An econometric analysis of TV advertising expenditure in the United Kingdom
    Journal of Policy Modeling, 1992, 14, (3), 281-311 View citations
72. Testing Integration and Cointegration: An Overview
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 225-55 View citations
73. Testing the lucas critique: A review
    Econometric Reviews, 1992, 11, (3), 265-306 View citations
    See also Working Paper (1990)
74. The Demand for M1 in the U.S.A., 1960-1988
    Review of Economic Studies, 1992, 59, (1), 25-61

1991

75. An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz
    American Economic Review, 1991, 81, (1), 8-38 View citations
76. Modeling the demand for narrow money in the United Kingdom and the United States
    European Economic Review, 1991, 35, (4), 833-881 View citations
    See also Working Paper (1990)
77. The response of consumption to income: A cross-country investigation: by John Y. Campbell and N. Gregory Mankiw
    European Economic Review, 1991, 35, (4), 764-767
78. Using PC-NAIVE in Teaching Econometrics
    Oxford Bulletin of Economics and Statistics, 1991, 53, (2), 199-223 View citations

1990

79. A Conversation on Econometric Methodology
    Econometric Theory, 1990, 6, (02), 171-261 View citations
80. An analogue model of phase-averaging procedures
    Journal of Econometrics, 1990, 43, (3), 275-292 View citations
    See also Working Paper (1987)

1989

81. A Re-analysis of Confluence Analysis
    Oxford Economic Papers, 1989, 41, (1), 35-52
82. Comment
    Econometric Reviews, 1989, 8, (1), 111-121

1988

83. Econometric analysis of small linear systems using PC-FIML
    Journal of Econometrics, 1988, 38, (1-2), 203-226 View citations
84. Interpreting Long-run Equilibrium Solutions in Conventional Macro Models: A Comment
    Economic Journal, 1988, 98, (392), 808-17 View citations
85. The Encompassing Implications of Feedback versus Feedforward Mechanisms in Econometrics
    Oxford Economic Papers, 1988, 40, (1), 132-49 View citations

1986

86. An excursion into conditional varianceland*
    Econometric Reviews, 1986, 5, (1), 63-69 View citations
87. Econometric Evaluation of Linear Macro-Economic Models
    Review of Economic Studies, 1986, 53, (4), 671-90 View citations
88. Econometric Modelling with Cointegrated Variables: An Overview
    Oxford Bulletin of Economics and Statistics, 1986, 48, (3), 201-12 View citations
89. Using PC-GIVE in Econometrics Teaching
    Oxford Bulletin of Economics and Statistics, 1986, 48, (1), 87-98 View citations

1985

90. Monetary Economic Myth and Econometric Reality
    Oxford Review of Economic Policy, 1985, 1, (1), 72-84 View citations
91. Small-Sample Properties of ARCH Estimators and Tests
    Canadian Journal of Economics, 1985, 18, (1), 66-93 View citations

1984

92. An Econometric Model of United Kingdom Building Societies
    Oxford Bulletin of Economics and Statistics, 1984, 46, (3), 185-210 View citations

1983

93. Comment
    Econometric Reviews, 1983, 2, (1), 111-114
94. Econometric Modelling: The "Consumption Function" in Retrospect
    Scottish Journal of Political Economy, 1983, 30, (3), 193-220 View citations
95. Exogeneity
    Econometrica, 1983, 51, (2), 277-304 View citations
    See also Working Paper (1979)
96. On High and Low R2 Contributions
    Oxford Bulletin of Economics and Statistics, 1983, 45, (3), 313-16
97. On Keynesian Model Building and the Rational Expectations Critique: A Question of Methodology
    Cambridge Journal of Economics, 1983, 7, (1), 69-75

1982

98. A reply to Professors Maasoumi and Phillips
    Journal of Econometrics, 1982, 19, (2-3), 203-213 View citations
99. Comment whither disequilibrium econometrics?
    Econometric Reviews, 1982, 1, (1), 65-70
100. On the formulation of empirical models in dynamic econometrics
     Journal of Econometrics, 1982, 20, (1), 3-33 View citations

1981

101. Interpreting econometric evidence: The behaviour of consumers' expenditure in the UK
     European Economic Review, 1981, 16, (1), 177-192 View citations
102. Model formulation to simplify selection when specification is uncertain
     Journal of Econometrics, 1981, 16, (1), 159-159

1980

103. An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification
     Review of Economic Studies, 1980, 47, (1), 21-45 View citations
104. Autoreg: a computer program library for dynamic econometric models with autoregressive errors
     Journal of Econometrics, 1980, 12, (1), 85-102 View citations
105. Econometrics-Alchemy or Science?
     Economica, 1980, 47, (188), 387-406 View citations

1979

106. The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors
     Journal of Econometrics, 1979, 9, (3), 295-314 View citations

1978

107. Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom
     Economic Journal, 1978, 88, (352), 661-92 View citations
108. Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England
     Economic Journal, 1978, 88, (351), 549-63 View citations

1977

109. The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems
     Econometrica, 1977, 45, (4), 969-90 View citations

1976

110. Estimating Systems of Dynamic Reduced Form Equations with Vector Autoregressive Errors
     International Economic Review, 1976, 17, (2), 463-71 View citations
111. The structure of simultaneous equations estimators
     Journal of Econometrics, 1976, 4, (1), 51-88 View citations

1974

112. Maximum Likelihood Estimation of Systems of Simultaneous Regression Equations with Errors Generated by a Vector Autoregressive Process: A Correction
     International Economic Review, 1974, 15, (1), 260
113. Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares
     Journal of Econometrics, 1974, 2, (2), 151-174 View citations
114. Stochastic Specification in an Aggregate Demand Model of the United Kingdom
     Econometrica, 1974, 42, (3), 559-78 View citations

1973

115. On Asymptotic Theory and Finite Sample Experiments
     Economica, 1973, 40, (158), 210-17 View citations

1971

116. Maximum Likelihood Estimation of Systems of Simultaneous Regression Equations with Errors Generated by a Vector Autoregressive Process
     International Economic Review, 1971, 12, (2), 257-72 View citations

Books

2001

1. Forecasting Non-Stationary Economic Time Series, vol 1
   MIT Press Books, The MIT Press View citations

Edited books

2003

1. Understanding Economic Forecasts, vol 1
   MIT Press Books, The MIT Press

Chapters

2007

1. Preface to Econometric Modeling: A Likelihood Approach
   A chapter in Econometric Modeling: A Likelihood Approach, 2007
2. The Bernoulli model, from Econometric Modeling: A Likelihood Approach
   A chapter in Econometric Modeling: A Likelihood Approach, 2007

2006

3. Forecasting with Breaks
   Elsevier View citations

1984

4. Dynamic specification
   Chapter 18 in Handbook of Econometrics, 1984, vol. 2, pp 1023-1100 View citations
5. Monte carlo experimentation in econometrics
   Chapter 16 in Handbook of Econometrics, 1984, vol. 2, pp 937-976 View citations

Editor

1. Oxford Bulletin of Economics and Statistics
   Department of Economics, University of Oxford