David Hendry (Professorial Fellow) pursued his research on the ‘Econometrics of Economic Forecasting’ under a Leverhulme Personal Research Professorship. This work is jointly with A Banerjee, M P Clements, H-M Krolzig, G E Mizon and M Sensier under an ESRC-financed project of that title. The work revealed the central role in systematic forecast failures of shifts in equilibrium means, matching earlier results on the efficacy of ‘intercept corrections’ in robustifying forecasts, and points towards directed tests for equilibrium shifts. The properties of multi-step estimation criteria in forecasting were investigated. His research on the other ESRC project, ‘Modelling Cointegrated Economic Series’ (with J N J Muellbauer, J A Doornik and G Cameron), focused on modelling money demand over the last century in the UK, updating earlier results and clarifying the concept of model constancy. A new version of the book and program for Modelling Dynamic Systems were published.
He delivered Invited Lectures to the Copenhagen University City-of-Culture Conference, the Centenary Conference of the Scandinavian Journal of Economics, and the Latin American Econometric Society Meeting in Santiago, as well as Public Lectures at CEMFI and Carlos III University, Madrid. He also gave a Featured Address to the International Forecasting Symposium in Barbados, and presented papers at the following conferences: NBER Time-Series (Rotterdam), the Royal Economic Society (Stoke), Carnegie-Rochester Money and Macro (Pittsburgh), the European Econometric Society (Toulouse), and the Oxford Forecasting Workshop. He taught a course on Economic Forecasting at the Carlos, III University, Madrid, as well as a CTI Course on PcGive. Together with Dr. Sensier, he organized two half-day workshops on Economic Forecasting at Nuffield.
He presented seminars at the Universities of California at San Diego, Copenhagen, Toulouse, Warwick, and Oxford (Economic History and Institute of Economics and Statistics); the Stockholm School of Economics; the Bank of Norway, and the London School of Economics.
Publications
(with J A Doornik) Modelling Dynamic Systems using PcFiml. London: International Thomson Business Press, 1997.
(edited with A Banerjee and G E Mizon) The Econometric Analysis of Economic Policy. Oxford: Blackwells 1997. (Also issued as Oxford Bulletin of Economics and Statistics, Special Issue, 58).
(with M P Clements) ‘Multi-Step Estimation for Forecasting’, Oxford Bulletin of Economics and Statistics, 58, 1996.
(with J-P Florens and J-F Richard) ‘Encompassing and Specificity’, Econometric Theory, 12, 1996.
‘On the Constancy of Time-Series Econometric Equations’, Economic and Social Review, 27, 1996.
‘Cointegration Analysis: An International Enterprise’, Copenhagen University City-of-Culture Conference Proceedings, Copenhagen University: Centre of Excellence, 1996.
(with M P Clements) ‘Intercept Corrections and Structural Breaks’, Journal of Applied Econometrics, 11, 1996.
(with A Banerjee and G E Mizon) ‘The Econometric Analysis of Economic Policy’, Oxford Bulletin of Economics and Statistics, 58, 1996.
(with M S Morgan) ‘Jan Tinbergen: An Obituary’, Journal of the Royal Statistical Society, Series A, 159, 1996.
(with J A Doornik) ‘The Implications for Econometric Modelling of Forecast Failure’, Scottish Journal of Political Economy, 44, 1997.