David Hendry completed research under the ESRC financed project Structural Change and Econometric Modelling and commenced work on Modelling Cointegrated Processes (both with J N J Muellbauer, J A Doornik and G Cameron). He also continued research under the ESRC financed programme into the Econometrics of Economic Policy (with A Banerjee, M P Clements and G E Mizon). The main findings during the year were the possibility of determining structure in econometric models without complete knowledge of the determining variables, the importance of data measurement errors in distorting inference in cointegrated processes, the possibility of making economic forecasts against structural breaks more robust (with M P Clements), and the need to model economic processes from a system even when single equation inference is the aim (with J A Doornik). A paper formalizing specificity and encompassing was completed (with J P Florens and J F Richard), as was a book on the Foundations of Econometric Analysis (with M S Morgan). Two books on the Pc-Give 8 computer software system for interactive econometric modelling were also completed as texts for teaching econometrics at the computer as well as sustaining frontier empirical studies (with J A Doornik).
He presented a plenary invited lecture to the Swiss National Economics Conference, and gave papers at 6 conferences (NBER-NSF Time-series Meeting, Vienna; Econometric Study Group Bristol Conference; (EC)2 Conference on Cointegration and Dynamics, Oxford; Chemical Bank Forecasting Conference, London; Royal Economic Society Conference, Exeter; and the Cointegration Conference, Stockholm). He taught the 1994 Macro-econometrics course for the Italian Doctoral Programme in Economics.
He also presented seminars at the Bank of Norway; Bank of Switzerland; Federal Reserve Board, Washington; and the Universities of Oxford and Bonn. He continued as President of the Royal Economic Society, and Served on the Council of the Econometric Society. He was elected a foreign honorary member of the American Academy of Arts and Sciences and acted as a member of programme committee for the Royal Economic Society Conference.
Publications
Econometrics: Alchemy or Science? Essays in Econometric Methodology. Oxford: Basil Blackwell, 1993.
(with A Banerjee, J J Dolado and J W Galbraith) Co-integration, Error Correction and the Econometric Analysis of Non-Stationary Data. Oxford: Oxford University Press, 1993.
(with M P Clements) 'On the Limitations of Comparing Mean Square Error Forecast Errors (with discussion)', Journal of Forecasting, 12, and 'Reply', 1993.
(with S Cook) 'The Theory of Reduction in Econometrics', Poznan Studies in the Philosophy of the Sciences and the Humanities, 38, 1993.
(with J A Doornik) PcGive 8: An Interactive Econometric Modelling System. London: International Thomson Publishing/Duxbury Press, 1994.
(with J A Doornik) 'Modelling Linear Dynamic Econometric Systems', Scottish Journal of Political Economy, 41, 1994.
(with J A Doornik) PcFiml 8: Interactive Econometric Modelling of Dynamic Systems. London: International Thomson Publishing, 1994.