Hendry - Publications - Nuffield College Oxford University

2023

'What a puzzle! Unravelling the instabilities in UK Phillips curves', VoxEU (with J.L. Castle)
'A brief history of general-to-specific modelling', Oxford Bulletin
'Improving models and forecasts after equilibrium-mean shifts' (with J.L. Castle and J.A. Doornik)
'Why can economic forecasts go wrong?', Economics Observatory (with J.L. Castle)
'Historical role of energy in UK inflation and productivity with implications for price inflation', Energy Economics (with J.L. Castle and A.B. Martinez)
'Common volatility shocks driven by the global carbon transition', Journal of Econometrics (with S. Campos-Martins)

2022

'Analysing differences between scenarios', International Journal of Forecasting, Forthcoming (with F. Pretis)
'Does an empirical economic relation have a life?', Duke University Press
'Smooth robust multi-horizon forecasts', Advances in Econometrics (with A.B. Martinez and J.L. Castle)
'Econometrics for modelling climate change', Oxford Research Encyclopedias (with J.L. Castle)
'Forecasting: theory and practice', International Journal of Forecasting, (with F. Petropoulos et al)
'The role of energy in UK inflation and productivity', VoxEU, (with J.L. Castle and A.B. Martinez)
'Short-term forecasting of the coronavirus pandemic', VoxEU. (with J.L. Castle & J.A. Doornik)

2021

'Forecasting facing economic shifts, climate change and evolving pandemics', Econometrics, 10(2), (with J.L. Castle and J.A. Doornik)
'Forecasting principles from experience with forecasting competitions', Forecasting (Special Issue), 3(1), 138-165.
'Modelling and forecasting the COVID-19 pandemic time-series data', Social Science Quarterly. (with J.A. Doornik and J.L. Castle)
'Oxford's Contributions to Econometrics', Chapter 1 in Robert A. Cord (Ed.) The Palgrave Companion to Oxford Economics. London: Palgrave Macmillan.
'Robust discover of regression models', Econometrics and Statistics, Open Access. (with J.L. Castle and J.A. Doornik)
'Selecting a Model for Forecasting', Econometrics (with J.L. Castle & J.A. Doornik)
'The value of robust statistical forecasts in the Covid-19 pandemic', National Institute Economic Review.
'Written evidence submitted by Jennifer L. Castle and Professor Sir David F. Hendry', UK House of Commons Public Accounts Committee Report - A strategy for achieving net zero emissions by 2050.

2020

'A Short History of Macroeconometric Modelling', Journal of Banking, Finance and Sustainable Development
'Climate Econometrics: An Overview', monograph for Foundations and Trends in Econometrics (with J.L. Castle)
'Decarbonising the future UK economy', VoxEU. (with J.L. Castle)
'Modelling non-stationary big data', International Journal of Forecasting
'The Paradox of Stagnant Real Wages yet Rising 'Living Standards' in the UK', VoxEU. (with J.L. Castle & A.B. Martinez)
'Why short-term forecasts can be better than models for predicting how pandemics evolve', The Conversation (with J.L. Castle and J.A. Doornik)
'Can we get accurate short-term forecasts of coronovirus cases and deaths?', Economics Observatory (with J.L. Castle and J.A. Doornik)
'Can the UK achieve net-zero emissions in a post-Covid-19 economic recovery?', Economics Observatory (with J.L. Castle)
'Statistical short-term forecasting of the COVID-19 pandemic', Journal of Clinical Immunology and Immunotherapy. (with J.A. Doornik & J.L. Castle)

2019

'Card forecasts for M4', International Journal of Forecasting. (Open Access)
'Sir David F. Hendry recommends "An analysis of the indicator saturation estimator as a robust regression estimator" by Søren Johansen and Bent Nielsen', The Methodology and Practice of Econometrics, Oxford University Press.

2018

'First-in, first-out: Driving the UK's per capita carbon dioxide emissions below 1860 levels', VoxEU.
'Deciding between Alternative Approaches in Macroeconomics', International Journal of Forecasting, 34, 119-135, with 'Response to the Discussants', 142-146.
'Software Implementation', Empirical Econometric Modelling Using PcGive: Volume I, 8th edition, London, Timberlake Consultants Press (with J.S. Doornik).
'The Future of Macroeconomics: Macro Theory and Models at the Bank of England', Oxford Review of Economic Policy, 34, 287-328 (with J.N.J. Muellbauer)

2017

'Clive W.J. Granger and Cointegration', European Journal of Pure and Applied Mathematics, 10, 58-81 (with J.L. Castle)
'Evaluating Forecasts, Narratives, and Policy using a Test of Invariance', Econometrics, 5(3), 39-66 (with J.L. Castle and A.B. Martinez).
'Evaluating Multi-Step System Forecasts with Relatively few Forecast-Error Observations', International Journal of Forecasting, 33, 359-372 (with A.B. Martinez)
'Explaining Nowcast Errors', EURONA, 2/2017, 57-87 (with H. Druba and J.L. Castle).
'Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview', 53-110 in Handbook on Rapid Estimates, UN and Eurostat (with J.L. Castle and O.K. Kitov)
'Forget about Rational Expectations', in Frey, B.S. and iselin, D. (Eds.), Economic Ideas You Should Forget, Springer
'Granger Causality', European Journal of Pure and Applied Mathematics, 10, 12-29.
'Milton Friedman and Data Adjustment', VoxEU, 4 May 2017 (with N. Ericsson and S. Hood)
'The Impact of Near-Integrated Measurement Errors on Modelling Long-Run Macroeconomic Time Series', Econometric Reviews, 36, 568-587 (with J.A. Duffy)

2016

'All Change! The Implications of Non-Stationarity for Empirical Modelling, Forecasting and Policy', Oxford Martin School Policy Paper (with F. Pretis)
'An Overview of Forecasting Facing Breaks', Journal of Business Cycle Research, 12, 3-23. (with J.L. Castle and M.P. Clements)
'Improving the Teaching of Econometrics', Cogent Economics and Finance, 4, 1 (with G.E. Mizon)
'Milton Friedman as an Empirical Modeler', In: Cord R.A. and Hammond J.D. (eds.) Milton Friedman: Contributions to Economics and Public Policy, Oxford University Press. pp 91-142 (with N.R. Ericsson and S.B. Hood)
'Outliers and Model Selection: Discussion of the Paper by Søren Johansen and Bent Nielsen', Scandinavian Journal of Statistics, 43, 360-365 (with J.A. Doornik)

2015

'Detecting Location Shifts During Model Selection by Step-indicator Saturation', Econometrics, 3(2), 240-264 (with J.L. Castle, J.A. Doornik and F. Pretis)
'Introductory Macro-Econometrics: A New Approach'. Timberlake Consultants Press
'Mining Big Data by Statistical Methods', The European Financial Review, February-March, 69-72
'Model Discovery and Trygve Haavelmo's Legacy', Econometric Theory, 31, 93-114. (with S. Johansen)
'Statistical Model Selection with Big Data', Cogent Economics & Finance, 3(1) (with J.A. Doornik)

2014

'Robust Approaches to Forecasting', International Journal of Forecasting, 31, 99-112
'Semi-Automatic Non-linear Model Selection'. In Haldrup, N. Meitz, M. and Saikkonen, P., (eds) Essays in Nonlinear Time Series Econometrics, Oxford University Press. (with J.L. Castle)
'Unpredictability in Economic Analysis, Econometric Modeling and Forecasting', Journal of Econometrics, 182, 186-195. (with G.E. Mizon)

2013

'Comment on "Polynomial Cointegration Tests of Anthropogenic Impact on Global Warming" by Beenstock et al. (2012) - Some Hazards in Econometric Modelling of Climate Change', Earth System Dynamics, 4, 375-384. (with F. Pretis) http://www.earth-syst-dynam.net/4/375//esd-4-375-.html
'Forecasting by factors, by variables, both or neither?', Journal of Econometrics, 177, 305--319. (with J.L. Castle and M.P. Clements)
Model Selection in Under-specified Equations with Breaks', Journal of Econometrics, DOI: 10.1016/j.jeconom.2013.08.028. (with J.L. Castle)
'Model Selection in Equations with Many 'Small' Effects',Oxford Bulletin of Economics and Statistics,75, 6--22 (with J.L. Castle and J.A. Doornik)
'Mis-specification Testing: Non-Invariance of Expectations Models of Inflation', Econometric Reviews, DOI:10.1080/07474938,2913,825137, (with J.L. Castle, J.A. Doornik and R. Nymoen)
'Retrospective on "Econometric Modelling: The Consumption Function in Retrospect', Scottish Journal of Political Economy, 30 (1983), 193-220', Scottish Journal of Political Economy, 60, 523-525
'Some Fallacies in Econometric Modelling of Climate Change: a Comment on Beenstock et at., 2012', Earth Systems Dynamics, 4, 2019-33

2012

'Anthropogenic Influences on Atmospheric CO2', pp. 287-323 in R. Fouquet (ed.) Handbook of Energy and Climate Change, Edward Elgar. (with F. Pretis)
'Model Selection in Equations with Many 'Small' Effects', Oxford Bulletin of Economics and Statistics, 75, 6-22
'Model Selection when there are Multiple Breaks' Journal of Econometrics, 169, 239-246. (with J.L. Castle and J.A. Doornik)
'Open-model Forecast-error Taxonomies', 219-240, Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis,X. Chen and N.R. Swanson, (eds), Springer. (with G.E. Mizon)

2011

'A Tale of 3 Cities: Model Selection in Over, Exact and Under-specified Equations' Kaldor, M. and Vizard, P. (eds.), Arguing About the World, Bloomsbury Academic, 31-55. (with J.L. Castle)
'Automatic Selection for Non-linear Models' In Wang, L., H. Garnier, and T. Jackman (eds.), System Identification, Environmental Modelling and Control, Springer, 229-250. (with J.L. Castle)
'Climate Change: Possible Lessons for our Future from the Distant Past', Dietz, S., Michie, J. and Oughton, C. (eds.), The Political Economy of the Environment, pp 19-43. London: Routledge
'Combining Disaggregate Forecasts versus Disaggregate Information to Forecast an Aggregate' Journal of Business and Economic Statistics, 29, 216-227. (with K. Hubrich)
'Econometric Modelling of Time Series with Outlying Observations', Journal of Time Series Ecometrics, 3(1), DOI: 10.2202/1941-1928.1100. (with G.E. Mizon)
'Editors Introduction', in Oxford Handbook of Economic Forecasting,M.P. Clements and D.F. Hendry (eds.), Oxford University Press, pp 1-6. (with M.P. Clements)
'Empirical Economic Model Discovery and Theory Evaluation', Rationality Markets and Morals', 2, 115-145
Evaluating Automatic Model Selection', Journal of Time Series Econometrics, 3(1), DOI: 10.2202/1941-1928.1097. (with J.L. Castle and J.A. Doornik)
'Foreasting Breaks and During Breaks' in Oxford Handbook of Economic Forecasting, op. cit., pp 315-354. (with J.L. Castle and N.W.P. Fawcett)
'Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts'. in Oxford Handbook of Economic Forecasting, op. cit., pp 271-314. (with M.P. Clements)
'Justifying Empirical Macro-Econometric Evidence'. World video conference, Journal of Economic Surveys
'Mathematical Models and Economic Forecasting: Some Uses and Mis-Uses of Mathematics in Economics', inProbabilities, Laws, and Structures,M. Weber, D. Dieks, W.J. Gonzalez, S. Hartman, F. Stadler and M Stöltzner, (eds.), Springer, 319-335
'On Adding Over-identifying Instrumental Variables to Simultaneous Equations', Economics Letters, 111, 68-70
'On Not Evaluating Economic Models by Forecast Outcomes' 40th Anniversary Issue, Istanbul University Journal of the School of Business Administration, 40, 1-21. (with J.L. Castle)
'What Needs Re-thinking in Macroeconomics?'. Global Policy, 2, 176-183. (with G.E. Mizon)

2010

'An Automatic Test of Super Exogeneity', 164-193, M.W. Watson, T. Bollerslev and J. Russell (eds.). In Volatility and Time Series Econometrics,Oxford Univeristy Press. (with C. Santos)
'A Low-Dimension Portmanteau Test for Non-linearity',Journal of Econometrics, 158, 231-245. (with J.L. Castle)
'A Modern Approach to Teaching Econometrics', European Journal of Pure and Applied Mathematics, 3, 347-369 (with B. Nielsen)
'Forecasting with Equilibrium-correction Models during Structural Breaks', Journal of Econometrics,158, 25-38. (with J.L. Castle and N.W.P. Fawcett)
'Nowcasting from Disaggregates in the Face of Location Shifts' Journal of Forecasting, 29, 200-1=2014. (with J.L. Castle)
'Professor Sir Clive W.J. Granger and Cointegration', Journal of Financial Econometrics, 8, 162-168
'Revisiting UK Consumers' Expenditure: Cointegration, Breaks, and Robust Forecasts' Applied Financial Economics, 21, 19-32

2009

'Comment on "Excessive Ambitions" (by Jon Elster)', Capitalism and Society,4:2, Article 6, DOI: 10.2202/1932-0213.1056
'How Should We Make Economic Forecasts?', VoxEU, 11 June; http://www.voxeu.org/index.php?q=node/3647. (with J.J. Reade)
'Model Identification and Non-unique Structure', J.L. Castle and N. Shephard (eds.), in The Methodology and Practice of Econometrics,Oxford University Press (with M. Lu and G.E. Mizon)
'Nowcasting is not just Contemporaneous Forecasting',National Institute Economic Review, 210, 71-89. (with J.L. Castle and N.W.P. Fawcett)
'Obituary: Sir Clive W.J. Granger' Econometric Theory, 25, 1139-1142. (with Peter C.B. Phillips)
'Obituary in Memory of Clive Granger: An Advisory Board Member of the Journal' Journal of Applied Econometrics,24, 871-873. (with M. Hashen Pesaran)
'The Long-Run Determinants of UK Wages, 1860-2004', Journal of Macroeconomics, 31, 5-28, (with J.L. Castle)
'The Methodology of Empirical Econometric Modeling: Applied Econometrics Through the Looking-Glass', 3-67 in T. Mills and K. Patterson (eds.),Handbook of Econometrics, Vol. II, Applied Econometrics,Palgrave-Macmillan

2008

'Automatic Selection of Indicators in a Fully Saturated Regression', Computational Statistics, 33, 317-335: Erratum, 337-339.(with Søren Johansen and Carlos Santos)
'Biography of Denis Sargan', New Palgrave Dictionary of Economics, DOI: 10.1057/9780230226203.1470 (with P.C.B. Phillips)
'Cointegration', 2-4, in W.A. Darity, Jr. (ed), International Encyclopedia of the Social Sciences, Vol. 2, 2nd Edition, Macmillan,(with N.R. Ericsson)
'Encompassing',Oxford Bulletin of Economics and Statistics, 70, and 'Editors Introduction', 715-719 (edited with M. Marcellino and G.E. Mizon)
'Economic Forecasting in a Changing World' in Capitalism and Society, 3,(2, 1), 1-18(with M.P. Clements)
'Elusive Return Predictability: Discussion', International Journal of Forecasting, 24, 22-28. (with J.J. Reade)
'Equilibrium-correction Models', New Palgrave Dictionary of Economics, DOI: 10, 1057/9780230226203.0496
'Forecasting Annual UK Inflation using an Econometric Model over 1875-1991', 3-39, M.E. Wohar and D.E. Rapach, (eds.), in Forecasting in the Structural Breaks and Model Uncertainty, Frontiers of Economics and Globalization Volume 3, Emerald Group, Bingley, UK, (with M.P. Clements)
'Forecasting Economic Time Series', Chinese edition, translated by Lu Maozu, 2008. (Originally Cambridge University Press, 1998) (with M.P. Clements)
'Forecasting UK Inflation: Empirical Evidence on Robust Forecasting Devices', in Forecasting in the Presence of Structural Breaks and Model Uncertainty: Frontiers of Economics and Globalization, Volume 3 (Eds.) D.E. Rapach and M.E. Wohar, Bingley: UK: Emerald Group 41-92
'Log Income versus Linear Income: An Application of the Encompassing Principle', Oxford Bulletin of Economics and Statistics,70, 807-827 (with L. Ermini).
'Linear vs. Long-linear Unit Root Specification: An Application of Mis-specification Encompassing', Oxford Bulletin of Economics and Statistics, 70, 829-847(with A. Spanos and J.J. Reade)

2007

'Co-breaking: Recent Advances and a Synopsis of the Literature', Journal of Business and Economic Statistics, 25, 33-51 (with M. Massmann)

2006

`A Comment on `Specification Searches in Spatial Econometrics: The Relevance of Hendry's Methodology', Regional Science and Urban Economics, 36, 309-312
`Forecasting with Breaks', 605-657 in G. Elliott, C.W.J. Granger and A. Timmermann (eds), Handbook of Economic Forecasting, Elsevier (with M.P. Clements)
`Parallel Computation In Econometrics: A Simplified Approach', 449-476 in E.J. Kontoghiorghes (ed.) Handbook of Parallel Computing and Statistics, Chapman & Hall/CRC Press (with J.A. Doornik and N. Shephard)
`Robustifying Forecasts from Equilibrium-Correction Models', Journal of Econometrics, 135, 399-426

2005

'A Dialogue Concerning a New Instrument for Econometric Modeling', Econometric Theory, 21, 278-297 (with C.W.J. Granger)
'Bridging the Gap: Linking Economics and Econometrics', in C. Diebolt and C. Kyrtsou, New Trends in Macroeconomics, 53-77
'Editors' Introduction to General to Specific Modelling', 1-81, Edward Elgar (with J. Campos and N.R. Ericsson)
'Evaluating a Model by Forecast Performance', Oxford Bulletin of Economics and Statistics, 67, 931-956 (with M.P. Clements)
'Forecasting in the Presence of Structural Breaks and Policy Regime Shifts', 480-502 in D.W.K Andrews, and J. Stock (eds) Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg, Cambridge University Press (with G.E. Mizon)
`Non-parametric Direct Multi-step Estimation for Forecasting Economic Processes', International Journal of Forecasting, 21, 201-218 (with G. Chevillon)
'Regression Models with Data-based Indicator Variables', Oxford Bulletin of Economics and Statistics, 67, 571-595 (with C. Santos)
'The Properties of Automatic Gets Modelling', Economic Journal, 115, C32-C61 (with H-M. Krolzig)

2004

'Automatic Model Selection: A New Instrument for Social Science', Electoral Studies, 23, 525-544 (with H-M. Krolzig)
'Causality and Exogeneity in Non-stationary Economic Processes', 21-48 in New Directions in Macromodelling, edited by A. Welfe, North Holland
'Pooling of Forecasts'. Econometrics Journal, 7, 1-31 (with M.P. Clements)
Sub-sample model selection procedures in general-to-specific modelling, 53-75 in Contemporary Issues in Economics and Econometrics: Theory and Application, edited by R. Becker and S. Hurn, Edward Elgar (with H-M. Krolzig)
'The Nobel Memorial Prize for Clive W.J. Granger'. Scandinavian Journal of Economics, 106, 187-213
'The ET Interview: Professor David F. Hendry', Econometric Theory, 20, 745-806 (with N.R. Ericsson)
'The Nobel Memorial Prize for Clive W.J. Granger'. Scandinavian Journal of Economics, 106, 187-213
'We Ran One Regression', Oxford Bulletin of Economics and Statistics, 66, 799-810 (with H-M. Krolzig)

2003

'Consistent Model Selection by an Automatic Gets Approach', Oxford Bulletin of Economics and Statistics, 65, 803-819 (with J. Campos and H-M. Krolzig)
'Economic Forecasting: Some Lessons from Recent Research', Economic Modelling, 20, 301-329 (with M.P. Clements)
'Forecasting Pitfalls, Bulletin of EU and US Inflation and Macroeconomic Analysis, 100, 65-82
'Guest Editors’ Introduction: Model Selection and Evaluation in Econometrics', Oxford Bulletin of Economics and Statistics, 65, 681-688 (with N. Haldrup and H van Dijk)
'J. Denis Sargan and the Origins of LSE Econometric Methodology', Econometric Theory, 19, 457-480
'John Denis Sargan 1924-1996', Proceedings of the British Academy, 120, 385-409 (with P.C.B. Phillips)
'New Developments in Automatic General-to-specific Modelling', Econometrics and the Philosophy of Economics, 379-419, edited by B.P. Stigum, Princeton University Press (with H-M. Krolzig)
The Implications for Econometric Modelling of Forecast Failure', Scottish Journal of Political Economy, 44, 437-461 (with J.A. Doornik)

2002

'An Overview of Economic Forecasting', 1-18 in A Companion to Economic Forecasting, edited by Clements, M. P. and Hendry, D. F., Blackwell Publishers (with M.P. Clements)
'Applied Econometrics Without Sinning', Journal of Economic Surveys, 16, 591-604
'Explaining Forecast Failure in Macroeconomics', 539-571, in A Companion to Economic Forecasting, edited by Clements, M. P. and Hendry, D. F., Blackwell Publishers (with M.P. Clements)
'Forecast Failure, Expectations Formation, and the Lucas Critique', Econometrics of Policy Evaluation, Special Issue of Annales d'Economie et de Statistique, 66/67, 21-40
'Modelling Methodology and Forecast Failure', The Econometrics Journal, 5, 319-344 (with M.P. Clements)

2001

'Achievements and Challenges in Econometric Methodology', Journal of Econometrics, 100, 7-10
'An Historical Perspective on Forecast Errors', National Institute Economic Review, 177 (July), 70-82 (with M.P. Clements)
'Automatic Econometric Model Selection Using PcGets', Timberlake Consultants Ltd. London (with H.-M. Krolzig)
'Computer Automation of General-to-Specific Model Selection Procedures', Journal of Economic Dynamics and Control, 25, 831-866 (with H-M Krolzig)
'Constructing Historical Euro-Zone Data', Economic Journal, 111, 308-327 (with A. Beyer and J.A. Doornik). [data]
'Explaining Cointegration Analysis: Part II', Energy Journal, 22, 75-120 (with K. Juselius)
'Explaining the Results of the M3 Forecasting Competition', International Journal of Forecasting, 17, 550-554. (Part of Commentaries on the M3-Competition) (with M.P. Clements)
'Forecasting with Difference and Trend Stationary Models', The Econometrics Journal, 4, S1-S19 (with M.P. Clements)
'Modelling UK inflation, 1875-1991', Journal of Applied Econometrics, 16, 255-275 [data]
'Studies in Empirical Macro-Econometrics', Journal of Applied Econometrics, 16, Editors' Introduction, 197-202 (with M.H. Pesaran)

2000

'Does Money Determine UK Inflation over the Long Run?', In R. Backhouse and Salanti, A. (Eds.), Macroeconomics and the Real World. Oxford: Oxford University Press
'Economic Forecasting in the Face of Structural Breaks', In S. Holly and M. Weale (Eds.), Econometric Modelling: Techniques and Applications. Cambridge: Cambridge University Press (with M.P. Clements)
'Epilogue: the Success of General-to-specific Model Selection', In Hendry, D.F. Econometrics: Alchemy or Science? New Edition. Oxford: Oxford University Press
'Explaining Cointegration Analysis: Part I', Energy Journal, 21, 1-42 (with K. Juselius)
'On Detectable and Non-detectable Structural Change', Structural Change and Economic Dynamics, 11, 45-65
'On Selecting Policy Analysis Models by Forecast Accuracy', In A.B. Atkinson, Glennerster, H. and N.H. Stern (Eds.), Putting Economics to Work: Volume in Honour of Michio Morishima. London School of Economics: STICERD (with G.E.Mizon)
'Re-constructing Aggregate Euro-Zone Data', Journal of Common Market Studies, 38, 57-68 (with A. Beyer and J.A. Doornik) [data]
'Reformulating Empirical Macroeconometric Modelling', Oxford Review of Economic Policy, 16(4), 138-157 (with G.E. Mizon)
'The Influence of A.W.H. Phillips on Econometrics', In R. Leeson (Ed.), A.W.H. Phillips: Collected Works in Contemporary Perspective. Cambridge: Cambridge University Press (with G.E. Mizon)

1999

'An Econometric Analysis of US Food Expenditure, 1931-1989', In J.R. Magnus and M.S. Morgan (Eds.), Two Experiments in Applied Econometrics. Chichester: John Wiley and Sons
'Encompassing and Rational Expectations: How Sequential Corroboration can imply Refutation', Empirical Economics,24, 1-21 (with N.R. Ericsson)
'Improving on `Data Mining Reconsidered' by K.D. Hoover and S.J. Perez. Econometrics Journal,2, 41-58 (with H.M. Krolzig)
'On Winning Forecasting Competitions in Economics', Spanish Economic Review,1, 123-160 (with M.P. Clements)
'The Pervasiveness of Granger Causality in Econometrics', In R.F. Engle and H. White (Eds.), Cointegration, Causality and Forecasting, 102-134. Oxford University Press (with G.E. Mizon)
'The Impact of Computational Tools on Time-series Econometrics'. In T. Coppock (Ed.), Information Technology and Scholarship: Applications in the Humanities and Social Sciences. Oxford: Oxford University Press (J.A. Doornik)

1998

'Exogeneity, Causality, and Co-breaking in Economic Policy Analysis of a Small Econometric Model of Money in the UK', Empirical Economics, 23, 267-294 (with G.E. Mizon)
'Exogeneity, Cointegration and Economic Policy Analysis'. Journal of Business and Economic Statistics, 16, 1-18 (with N.R. Ericsson and G.E. Mizon)
'Forecasting Economic Processes', International Journal of Forecasting, 14, 111-131 (with M.P. Clements).
'Forecasting Economic Processes - A reply', International Journal of Forecasting, 14, 139-143 (with M.P. Clements)
'Friedman and Schwartz (1982) Revisited: Assessing Annual and Phase-average Models of Money Demand in the United Kingdom', Empirical Economics, 23, 401-415 (with N.R. Ericsson and K.M. Prestwich)
'Inference in Cointegrating Models: UK M1 Revisited', Journal of Economic Surveys,12, 533-572 (with J.A. Doornik and B. Nielsen)
Reprinted in M. McAleer and L. Oxley (1999). Practical Issues in Cointegration Analysis. Oxford: Blackwell Publishers [data]
'The Demand for Broad Money in the United Kingdom, 1878-1993'. Scandinavian Journal of Economics, 100, 289-324 (with N.R. Ericsson and K.M. Prestwich).

1997

'An Empirical Study of Seasonal Unit Roots in Forecasting', International Journal of Forecasting, 13, 341-355 (with M.P. Clements)
'Cointegration Analysis: An International Enterprise', In H. Jeppesen and E. Starup-Jensen (Eds.), University of Copenhagen: Centre of Excellence. Copenhagen: University of Copenhagen
'On Congruent Econometric Relations: A Comment', Carnegie-Rochester Conference Series on Public Policy, 47, 163-190
'The Econometrics of Macro-economic Forecasting', Economic Journal, 107, 1330-1357
'The Foundations of Econometric Analysis', Cambridge University Press: Cambridge (with M.S. Morgan)

1996

'An evaluation of forecasting using leading indicators', Journal of Forecasting, 15, 271-91 (with R.A. Emerson)
'Cointegration tests in the presence of structural breaks', Journal of Econometrics, 70, 187-220 (with J. Campos and N.R. Ericsson)
'Encompassing and Specificity', Econometric Theory, 12, 620-656 (with J-P. Florens and J-F. Richard)
'Intercept corrections and structural change', Journal of Applied Econometrics, 11, 475-494 (with M.P. Clements)
'Multi-step estimation for forecasting', Oxford Bulletin of Economics and Statistics, 58, 657-684 (with M.P. Clements)
'On the constancy of time-series econometric equations', Economic and Social Review, 27, 401-422
'Typologies of linear dynamic systems and models', Journal of Statistical Planning and Inference, 49, 177-201
'The econometric analysis of economic policy', Oxford Bulletin of Economics and Statistics, 58, 573-600 (with A. Banerjee and G.E. Mizon)

1995

'Econometrics and Business Cycle Empirics', Economic Journal, 105, 1622-1636
'Forecasting in Cointegrated Systems', Journal of Applied Econometrics, 10, 127-146 (with M.P. Clements)
'On the Interactions of Unit Roots and Exogeneity', Econometric Reviews, 14, 383-419
'The Role of Econometrics in Scientific Economics', In A. d'Autume and J. Cartelier (Eds.), L'Economie Devient-elle une Science Dure?, pp. 172-196. Paris. Reprinted in English as: Is Economics Becoming a Hard Science? Edward Elgar, 1997

1994

'Cointegration, Seasonality, Encompassing and the Demand for Money in the United Kingdom. In: Hargreaves, C. (Ed.) (1994), Non-stationary Time-series Analysis and Cointegration, pp. 179-224. Oxford: Oxford University Press (with N.R. Ericsson and H-A Tran)
'Encompassing in Stationary Linear Dynamic Models', Journal of Econometrics, 63, 245-270 (with B. Govaerts and J-F Richard).
'HUS revisited', Oxford Review of Economic Policy, 10, 86-106
'Modelling Linear Dynamic Econometric Systems', Scottish Journal of Political Economy, 41, 1-33 (with J.A. Doornik) [data]
'On a Theory of Intercept Corrections in Macro-Economic Forecasting', In S.Holly (Ed.), Money, Inflation and Employment: Essays in Honour of James Ball, pp. 160-182. Aldershot: Edward Elgar (with M.P. Clements)
'Towards a Theory of Economic Forecasting', In: Hargreaves, C. (Ed.) (1994), Non-stationary Time-series Analysis and Cointegration, pp. 9-52. Oxford: Oxford University Press (with M.P. Clements)

1993

'Evaluating Dynamic Econometric Models by Encompassing the VAR', In P.C.B. Phillips (Ed.), Models, Methods and Applications of Econometrics, pp. 272-300. Oxford: Basil Blackwell (with G.E. Mizon)
'On the Limitations of Comparing Mean Squared Forecast Errors', Journal of Forecasting, 12, 617-637, (with M.P. Clements)
'The Demand for M1 in the USA: A Reply to James M. Boughton', Economic Journal, 103, 1158-1169 (with R.M. Starr)
'The Theory of Reduction in Econometrics', Poznan Studies in the Philosophy of the Sciences and the Humanities, 38, 71-100 (with S. Cook)

1992

'Assessing Empirical Evidence in Macro-Econometrics with an Application to Consumers' Expenditure in France', In A. Vercelli and N. Dimitri (Eds.), Macroeconomics: A Survey of Research Strategies, pp. 363-392. Oxford: Oxford University Press
'Likelihood Evaluation for Dynamic Latent Variables Models', In H.M. Amman, D.A. Belsley, and L.F. Pau (Eds.), Computational Economics and Econometrics, Chapter 1. Dordrecht: Kluwer (with J-F Richard)
'Testing Integration and Cointegration: An Overview', Oxford Bulletin of Economics and Statistics, 54 (with A. Banerjee)
'Testing the Lucas Critique: A Review', Econometric Reviews, 11, 265-306 (with C. Favero)
'The Demand for M1 in the U.S.A., 1960-1988', Review of Economic Studies, 59, 25-61 (with Y. Baba and R.M. Starr)

1991

'An Econometric Analysis of UK Money Demand in `Monetary Trends in the United States and the United Kingdom, by Milton Friedman and Anna J. Schwartz', American Economic Review, 81, 8-38 (with N.R. Ericsson)
'A Monte Carlo Study of the Effects of Structural Breaks on Tests for Unit Roots', In P. Hackl and A.H. Westlund (Eds.), Economic Structural Change: Analysis and Forecasting, pp. 95-119. Berlin: Springer-Verlag (with A.J. Neale).
'Modelling the Demand for Narrow Money in the United Kingdom and the United States', European Economic Review, 35, 833-886 (with N.R. Ericsson).
'Using PC-NAIVE in Teaching Econometrics', Oxford Bulletin of Economics and Statistics, 53, 199-223.
'The Response of Consumption to Income: A Cross-Country Investigation: by John Y. Campbell and N. Gregory Mankiw', European Economic Review, 35(4), 764-767.

1990

'An Analogue Model of Phase-Averaging Procedures', Journal of Econometrics, 43, 275-292 (with J. Campos and N.R. Ericsson)
'A Conversation on Econometric Methodology', Econometric Theory, 6, 171-261 (E.E. Leamer and D.J. Poirier)
'Procrustean Econometrics: Stretching and Squeezing Data', In C.W.J. Granger (Ed.), Modelling Economic Series, pp. 121-136. Oxford: Clarendon Press (with G.E. Mizon)
'Testing Super Exogeneity and Invariance in Regression Models', Journal of Econometrics, 56, 119-139 (with R.F. Engle)
'The Econometrics of DHSY', In J.D. Hey and D. Winch (Eds.), A Century of Economics: 100 Years of the Royal Economic Society and the Economic Journal, pp. 298-334. Oxford: Basil Blackwell (J.N.J Muellbauer and T.A. Murphy)

1989

'A Re-Analysis of Confluence Analysis', Oxford Economic Papers, 41, 35-52 (with M.S. Morgan)
'Comment on Inter-temporal Consumer Behaviour Under Structural Changes in Income', Econometric Reviews, 8, 111-121
'Recent Developments in the Theory of Encompassing', In B. Cornet and H. Tulkens (Eds.), Contributions to Operations Research and Economics. The XXth Anniversary of CORE, pp. 393-440. Cambridge, MA: MIT Press (with J.F. Richard)
'The Contributions to Econometrics in Trygve Haavelmo's The Probability Approach in Econometrics', Sosialøkonomen, 43(11), 12-17 (with A. Spanos and N.R. Ericsson)

1988

'Econometric Analysis of Small Linear Systems Using PC-FIML', Journal of Econometrics, 38, 203-226 (with A.J. Neale and F. Srba)
'Encompassing', National Institute Economic Review, 125, 88-92
'Interpreting Long-Run Equilibrium Solutions in Conventional Macro Models: A comment', Economic Journal, 98, 808-817 (with A.J. Neale)
'Some Foreign Observations on Macro-Economic Model Evaluation Activities at INSEE', In Groupes d'Etudes Macroeconometriques. INSEE
'The Encompassing Implications of Feedback Versus Feedforward Mechanisms in Econometrics', Oxford Economic Papers, 40, 132-149

1987

'Econometrics in Action', Empirica, 14(2), 135-156
'Econometric Methodology: A Personal Perspective', In T.F. Bewley (Ed.), Advances in Econometrics, Chapter 10. Cambridge: Cambridge University Press
'Monte Carlo Experimentation Using PC-NAIVE', In T. Fomby and G.F. Rhodes (Eds.), Advances in Econometrics, Volume 6, pp. 91-125. Greenwich, Connecticut: Jai Press Inc (with A.J. Neale)

1986

'An Excursion into Conditional Varianceland', Econometric Reviews, 5(1), 63-69. (Comment)
'Econometric Evaluation of Linear Macro-Economic Models', Review of Economic Studies, 53, 671-690. Reprinted in Granger, C.W.J. (ed.) (1990), Modelling Economic Series. Oxford: Clarendon Press (with Y.Y. Chong)
'Econometric Modelling with Cointegrated Variables: an Overview', Oxford Bulletin of Economics and Statistics, 48(3), 201-212
'Empirical Modelling in Dynamic Econometrics: The New-Construction Sector', Applied Mathematics and Computation, 21, 1-36
'Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence', Oxford Bulletin of Economics and Statistics, 48, 253-277 (with A. Banerjee, J.J. Dolado, and G.W. Smith)
'PRACTITIONERS' CORNER: Using PC-GIVE in Econometrics Teaching', Oxford Bulletin of Economics and Statistics, 48, 87-98
'The Role of Prediction in Evaluating Econometric Models', In Proceedings of the Royal Society, Volume 407, pp. 25-33

1985

'Conditional Econometric Modelling: An Application to New House Prices in the United Kingdom', In Atkinson, A.C. and S.E. Fienberg (Eds.) (1985), Chapter 11.A Celebration of Statistics. New York: Springer-Verlag (with N.R. Ericsson)
'Monetary Economic Myth and Econometric Reality', Oxford Review of Economic Policy, 1, 72-84. Reprinted in Hendry, D.F. (1993), Econometrics: Alchemy or Science? Oxford: Blackwell Publishers, and Oxford University Press, 2000
'Small Sample Properties of ARCH Estimators and Tests', Canadian Journal of Economics, 43, 66-93 (with R.F. Engle and D. Trumbull)

1984

'An Econometric Model of United Kingdom Building Societies', Oxford Bulletin of Economics and Statistics, 46, 185-210 (with G.J. Anderson)
'Dynamic specification', In Griliches, Z. and M.D. Intriligator (Eds.) (1984). Handbook of Econometrics, Volume 2-3, Chapter 18. Amsterdam: North-Holland. Reprinted in Hendry, D.F. (1993), Econometrics: Alchemy or Science? Oxford: Blackwell Publishers, and Oxford University Press, 2000 (with A.R. Pagan and J.D. Sargan)
'Econometric Modelling of House Prices in the United Kingdom', In Hendry, D.F. and K.F. Wallis (Eds.) (1984) Econometrics and Quantitative Economics, pp. 135-172. Oxford: Basil Blackwell
'Monte Carlo Experimentation in Econometrics', In Griliches, Z. and M.D. Intriligator (Eds.) (1984), Handbook of Econometrics, Volume 2-3, Chapter 16. Amsterdam: North-Holland
'Present Position and Potential Developments: Some Personal Views on Time-Series Econometrics', Journal of the Royal Statistical Society, 147, 327-339

1983

'Econometric Modelling: The Consumption Function in Retrospect', Scottish Journal of Political Economy, 30, 193-220. Reprinted in Hendry, D.F. (1993), Econometrics: Alchemy or Science? Oxford: Blackwell Publishers, and Oxford University Press, 2000
'Exogeneity', Econometrica, 51, 277-304. Reprinted in Hendry, D.F. (1993), Econometrics: Alchemy or Science? Oxford: Blackwell Publishers, and Oxford University Press, 2000 (with R.F. Engle and J.F. Richard)
'On Keynesian Model Building and the Rational Expectations Critique: A Question of Methodology', Cambridge Journal of Economics, 7, 69-75
'The Econometric Analysis of Economic Time Series (With Discussion)', International Statistical Review, 51, 111-163. Reprinted in Hendry, D.F. (1993), Econometrics: Alchemy or Science? Oxford: Blackwell Publishers, and Oxford University Press, 2000 (with D.F. Hendry and J.F. Richard)

1982

'A Reply to Professors Maasoumi and Phillips', Journal of Econometrics, 19, 203-213
'On the Formulation of Empirical Models in Dynamic Econometrics', Journal of Econometrics, 20, 3-33. Reprinted in Granger, C.W.J. (ed.) (1990), Modelling Economic Series. Oxford: Clarendon Press and in Hendry D.F. (1993), Econometrics: Alchemy or Science?Oxford: Blackwell Publishers, and Oxford University Press, 2000 (with J.F. Richard)
'The Role of Econometrics in Macroeconomic Analysis', UK Economic Prospect, 3, 26-38

1981

'Econometric Evidence in the Appraisal of UK Monetary Policy', In The Third Report of the Select Committee of the House of Commons on the Treasury and Civil Service, Volume 3, pp. 1-21. HMSO
'Interpreting Econometric Evidence: Consumers' Expenditure in the UK', European Economic Review, 16, 177-192 Reprinted in Hendry, D.F. (1993), Econometrics: Alchemy or Science? Oxford: Blackwell Publishers, and Oxford University Press, 2000 (with J.E.H. Davidson)
'Liquidity and Inflation Effects on Consumers' Expenditure'. In A.S. Deaton (Ed.), Essays in the Theory and Measurement of Consumers' Behaviour, pp. 237-261. Cambridge: Cambridge University Press. Reprinted in Hendry, D.F. (1993), Econometrics: Alchemy or Science? Oxford: Blackwell Publishers, and Oxford University Press, 2000 (with T.von Ungern-Sternberg)

1980

'An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification', Review of Economic Studies, 49, 21-45. Reprinted in Hendry, D.F. (1993),Econometrics: Alchemy or Science?Oxford: Blackwell Publishers, and Oxford University Press, 2000 (with G.E. Mizon)
'AUTOREG: A Computer Program Library for Dynamic Econometric Models with Autoregressive Errors', Journal of Econometrics, 12, 85-102. Reprinted in Hendry, D.F. (1993),Econometrics: Alchemy or Science?Oxford: Blackwell Publishers, and Oxford University Press, 2000 (with F. Srba)
'Econometrics: Alchemy or science?', Economica, 47, 387-406. Reprinted in Hendry, D.F. (1993) ,Econometrics: Alchemy or Science? Oxford: Blackwell Publishers, and Oxford University Press, 2000

pre-1980

'Discussion of `Estimation of Linear Functional Relationships: Approximate Distributions and Connections with Simultaneous Equations in Econometrics' by T.W. Anderson'. Journal of the Royal Statistical Society, 38, 24-25
'Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom', Economic Journal, 88, 661-692. Reprinted in Hendry, D.F. (1993), Econometrics: Alchemy or Science? Oxford: Blackwell Publishers, and Oxford University Press, 2000 (with J.E.H. Davidson, F. Srba, and J.S. Yeo)
'Estimating Systems of Dynamic Reduced Form Equations with Vector Autoregressive Errors' (1976), International Economic Review, 17, 463-471 (with A.R. Tremayne)
'Maximum Likelihood Estimation of Difference Equations with Moving-Average Errors: A Simulation Study' (1972), Review of Economic Studies, 32, 117-145 (with P.K. Trivedi)
'Maximum Likelihood Estimation of Systems of Simultaneous Regression Equations with Errors Generated by a Vector Autoregressive Process' (1971), International Economic Review, 12, 257-272. Correction in 15, p.260
'Monte Carlo Methodology and the Small Sample Behaviour of Ordinary and Two-Stage Least Squares' (1974), Journal of Econometrics, 2, 151-174 (with R.W. Harrison)
'On Asymptotic Theory and Finite Sample Experiments' (1973), Economica, 40, 210-217
'On the Time Series Approach to Econometric Model Building', In C.A. Sims (Ed.), New Methods in Business Cycle Research, pp. 183-202. Minneapolis: Federal Reserve Bank of Minneapolis. Reprinted in Hendry, D.F. (1993), Econometrics: Alchemy or Science?Oxford: Blackwell Publishers, and Oxford University Press, 2000
'Predictive Failure and Econometric Modelling in Macro-Economics: The Transactions Demand for Money', In P. Ormerod (Ed.), Economic Modelling, pp. 217-242. London: Heinemann. Reprinted in Hendry, D.F. (1993), Econometrics: Alchemy or Science?Oxford: Blackwell Publishers, and Oxford University Press, 2000
'Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England', Economic Journal, 88, 549-563. Reprinted in Hendry, D.F. (1993), Econometrics: Alchemy or Science? Oxford: Blackwell Publishers, and Oxford University Press, 2000 (G.E. Mizon)
'Stochastic Specification in an Aggregate Demand Model of the United Kingdom', Econometrica, 42, 559-578. Reprinted in Hendry, D.F. (1993), Econometrics: Alchemy or Science? Oxford: Blackwell Publishers, and Oxford University Press, 2000
'Survey of Student Income and Expenditure at Aberdeen University, 1963-64 and 1964-65' (1966), Scottish Journal of Political Economy, 13, 363--76.
'Testing Dynamic Specification in Small Simultaneous Systems: An Application to a Model of Building Society Behaviour in the United Kingdom', In M.D. Intriligator (Ed.), Frontiers in Quantitative Economics, Volume 3, pp. 361-383. Amsterdam: North Holland Publishing Company. Reprinted in Hendry, D.F. (1993), Econometrics: Alchemy or Science?Oxford: Blackwell Publishers, and Oxford University Press, 2000 (with G.J. Anderson).
'The Behaviour of Inconsistent Instrumental Variables Estimators in Dynamic Systems with Aautocorrelated Errors' (1979), Journal of Econometrics, 9, 295-314.
'The Consequences of Mis-Specification of Dynamic Structure, Autocorrelation and Simultaneity in a Simple Model with an Application to the Demand for Imports' (1975), In G.A. Renton (Ed.), Modelling the Economy, Chapter 11. London: Heinemann Educational Books
'The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems' (1977), Econometrica, 45, 969-990 (F. Srba)
'The Structure of Simultaneous Equations Estimators' (1976), Journal of Econometrics, 4, 51-88. Reprinted in Hendry, D.F. (1993), Econometrics: Alchemy or Science? Oxford: Blackwell Publishers, and Oxford University Press, 2000