The ET interview: professor David F. Hendry

Neil Ericsson

No 811, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

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: Hendry, David F.; Econometrics (search for similar items in EconPapers)
Date: 2004
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-his and nep-hpe
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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