David Hendry continued research on the ESRC-financed projects Modelling Cointegrated Economic Series (with J N J Muellbauer, J A Doornik and G Cameron) and The Econometrics of Economic Policy (with A Banerjee, M P Clements and G E Mizon). The research concentrated on determining the general properties of forecast procedures in non-stationary processes (with M P Clements), the role of exogeneity in economic policy analyses (with G E Mizon), and modelling dynamic, cointegrated systems (with J A Doornik). A study of encompassing logarithmic versus linear equations for integrated time series was completed (with L Ermini), as was a critical analysis of leading indicators in forecasting (with R Emerson). The book Dynamic Econometrics, drawing together much of his previous research on the methodology and techniques of econometric modelling, was published. He delivered the Quincentenary Lecture in Economics at the University of Aberdeen and the Annual Lecture to the Cyprus Economic Association. He gave invited papers at the following conferences: Royal Economic Society, Kent; Macro-Modelling Bureau, Warwick; SEMSTAT, Oxford; Empirical Macroeconomics, Aarhus; (EC2), Berlin; and the Macroeconomics Workshop, Liverpool. He also delivered a paper at the European Economic Association meeting in Prague, and taught the 1995 Econometrics course for the Finnish Doctoral Programme in Economics. He presented seminars at the London Business School; London School of Economics; European University Institute, Florence; University of Bergen; Oxford; and HM Treasury Macro-modelling Panel. He acted as President of the Royal Economic Society (up to April 1995), and served on the Council of the Econometric Society. He was elected an Honorary Vice-President of the Royal Economic Society, and was a member of its conference and programming committees. He was appointed Chairman of the Research Assessment panel in economics.
Publications
Dynamic Econometrics. Oxford: Oxford University Press, 1995.
(edited with M S Morgan) The Foundations of Econometric Analysis. Cambridge: Cambridge University Press, 1995.
'HUS Revisited', Oxford Review of Economic Policy, 10, 1994.
(with B Govaerts and J-F Richard) 'Encompassing in Stationary Linear Dynamic Models', Journal of Econometrics, 63, 1994.
(with M P Clements) 'Towards a Theory of Economic Forecasting' in C Hargreaves (ed.), Non-stationary Time-Series Analyses and Cointegration. Oxford: Oxford University Press, 1994.
(with N C Ericsson and H-A Tran) 'Cointegration, Seasonality, Encompassing and the Demand for Money in the United Kingdom', in C Hargreaves (ed.), Non-stationary Time-Series Analyses and Cointegration. Oxford: Oxford University Press, 1994.
(with M P Clements) 'On a Theory of Intercept Corrections in Macro-Econometric Forecasting', in S Holly (ed.), Money, Inflation and Employment: Essays in Honour of James Ball. London: Edward Elgar, 1994.
(with M P Clements) 'How Can Econometrics Improve Economic Forecasting?' , Swiss Journal of Economics and Statistics, 130, 1994.
(with M S Morgan) 'The ET Interview: Professor H O A Wold, 1908-1992', Econometric Theory, 10, 1994.
(with S Cook) 'The Theory of Reduction in Econometrics', reprinted in Spanish, in Cuadernos Economicos de ICE, 1994.
'The Role of Econometrics in Scientific Economics', in A d'Autume and J Cartelier (eds.) Is Economics Becoming a Hard Science? (in French) Paris: Economica, 1995.