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Dynamic Econometrics in Action: A Biography of David F. Hendry

Neil R. Ericsson ()
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Neil R. Ericsson: Division of International Finance, Board of Governors of the Federal Reserve System

No 2021-001, Working Papers from The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting

Abstract: David Hendry has made-and continues to make-pivotal contributions to the econometrics of empirical economic modeling, economic forecasting, econometrics software, substantive empirical economic model design, and economic policy. This paper reviews his contributions by topic, emphasizing the overlaps between different strands in his research and the importance of real-world problems in motivating that research.

Keywords: cointegration; consumers' expenditure; dynamic specification; equilibrium correction; forecasting; machine learning; model evaluation; money demand; PcGive; structural breaks (search for similar items in EconPapers)
JEL-codes: C52 C53 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2021-03
New Economics Papers: this item is included in nep-cmp, nep-ecm, nep-ets, nep-his, nep-hpe and nep-ore
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https://www2.gwu.edu/~forcpgm/2021-001.pdf First version, 2021 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:gwc:wpaper:2021-001

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