David Hendry (Professorial Fellow) was awarded a Leverhulme Personal Research Professorship to undertake research on the Econometrics of Economic Forecasting. This extends the work he has pursued with A Banerjee, M P Clements and G E Mizon on an ESRC-financed project with that title. The work reveals the different robustness of alternative forecasting procedures, and provides new insights into the old practice of 'intercept correcting' forecasting models, as well as introducing new concepts such as c-breaking where regime shifts that normally distort forecasts can be eliminated by linear combinations of variables. His research on the other ESRC project on 'Modelling Cointegrated Economic Series' (with J N J Muellbauer, J A Doornik and G Cameron) led to an approach to modelling inflationary pressures over the last century in the UK where all the theoretical influences (money, demand, exchange rates, government debt and foreign prices) played a role historically.
He delivered the Annual Guest Lecture to the Irish Economic Association and a Keynote address to the International Forecasting Symposium in Istanbul. He gave invited papers at the following conferences: Macro-Modelling Bureau, Warwick; (EC)2, Aarhus; Econometrics of Economic Policy in Florence; Bilkent Forecasting Workshop; and the Government Economic Service. He also presented a paper at the Royal Economic Society Conference, and taught both their 1996 Econometrics Easter School and the Dutch Doctoral Programme on Forecasting in Amsterdam, as well as the CTI Course on PcGive, Bristol.
He presented seminars at the Universities of Birmingham, Christchurch, Copenhagen, Dunedin, Exeter, Manchester, and Oxford; CORE, Louvain-La-Neuve; the European University Institute, Florence; Humboldt University, Berlin; the Stockholm School of Economics; University College, London; the Bank of Norway, the Reserve Bank of New Zealand, and the Bank of England.
He acted as Chairman of the Research Assessment panel in economics.
Publications
(with J A Doornik) Empirical Econometric Modelling using PcGive 9 for Windows. London: International Thomson Business Press, 1996.
(with J A Doornik) GiveWin: An Interface to Empirical Modelling. London: International Thomson Business Press, 1996.
(with M P Clements) 'Macro-Economic Forecasting and Modelling', Economic Journal (Policy Forum), 105, 1995.
'On the Interactions of Unit Roots and Weak Exogeneity', Econometric Reviews, 14, 1995.
(with M P Clements) 'Forecasting in Macro-Economics', in D R Cox, D V Hinkley and O E Barndorff-Neilsen (eds.) Time Series Models in Econometrics, Finance and Other Fields. London: Chapman and Hall, 1996.
(with J Campos and N R Ericsson)' The Properties of Cointegration Tests in the Presence of Structural Breaks', Journal of Econometrics, 70, 1996.
'Typologies of Linear Dynamic Systems and Models', Journal of Statistical Planning and Inference, 49, 1996.
(with M P Clements) 'Forecasting in Cointegrated Systems', Journal of Applied Econometrics, 10, 1995.
'Econometrics and Business Cycle Empirics', Economic Journal (Controversies), 105, 1995.
(with J A Doornik) 'A Window on Econometrics', Cyprus Journal of Economics, 15, 1996.
(with R A Emerson) 'An Evaluation of Forecasting using Leading Indicators', Journal of Forecasting, 15, 1996.
Four previously published papers were reprinted in N R Ericsson and J S Irons (eds.), Testing Exogeneity, Oxford: Oxford University Press, 1995.