• Forecasting
• Automated general-to-specific modelling strategies
• Empirical modelling

• David F. Hendry and Grayham E. Mizon Forecasting in the Presence of Structural Breaks and Policy Regime Shifts, 2002-W12 in Nuffield Economics Research via WWW. Abstract

• Kirstin Hubrich and David F. Hendry Forecasting Aggregates by Disaggregates

• Carlos Santos and David F. Hendry Regression Models with Data-based Indicator Variables , 2004-W13 in Nuffield Economics Research via WWW. Abstract

• David F. Hendry, Maozu Lu and Grayham E. Mizon Model Identification and Non-unique Structure, 2002-W10 in Nuffield Economics Research via WWW. Abstract

• Julia Campos, Neil R. Ericsson and David Hendry Editors Introduction, to General to Specific Modelling, forthcoming Edward Elgar.

• David F. Hendry Unpredictability and the Foundations of Economic Forecasting, 2004-W15 in Nuffield Economics Research via WWW. Abstract

• David F. Hendry Robustifying Forecasts from Equilibrium-Correction Models, 2004-W14 in Nuffield Economics Research via WWW. Abstract

• Jurgen A Doornik, David F. Hendry and Neil Shephard Parallel Computation In Econometrics: A Simplified Approach. , 2004-W16 in Nuffield Economcis Research via WWW. Abstract.

Other Nuffield College preprints in economics are available at Nuffield Economics Research via WWW. Also see the working paper series of the Department of Economics.

• Automatic Tests of Model Specification (ESRC project RES-062-23-0061)
• Economic Forecasting (ESRC project RES051270035)
  Extending the Boundaries of Econometric Modelling (ESRC project RES000230539)
  Jurgen A. Doornik and David F. Hendry
  
• Modelling, Forecasting and Policy in the Evolving Macro-economy (ESRC project L138251009))
  Anindya Banerjee, Michael P. Clements (Warwick), David F. Hendry, Hans-Martin Krolzig and Grayham E. Mizon (Southampton)
  Final report
• The Econometrics of Macroeconomic Forecasting (ESRC project L11625015) Anindya Banerjee, Michael P. Clements (Warwick), David F. Hendry, Hans-Martin Krolzig and Grayham E. Mizon (Southampton)
  Final report
• Modelling Non-stationarity in Economic Time Series (ESRC project R000237500)
  John N. J. Muellbauer, David F. Hendry, Bent Nielsen, Gavin Cameron, Jurgen A. Doornik and Luca Nunziata
  Annual report
• Modelling Cointegrated Processes (ESRC project R000234954) John N. J. Muellbauer, David F. Hendry, Jurgen A. Doornik and Gavin Cameron
  

• BDH data set accompanying Constructing Historical Euro-Zone Data by Andreas Beyer, Jurgen A. Doornik and David F. Hendry.

  BDHData.zip	BDH_data.pdf	brief description
  	BDH_data.in7	PcGive data set (part 1)
  	BDH_data.bn7	PcGive data set (part 2)
  	BDH_data.xls	Excel spread sheet file
  	BDH_data.txt	Text file (without transformed data)

• UKM1 accompanying Dynamic Econometrics and several papers.

  dynects.zip	M1.UKM	log of M1, 1963 (1) -- 1989(2), ASCII file
  	P.UKM	deflator of TFE, 1963 (1) -- 1989(3), ASCII file
  	TFE.UKM	log of real TFE, 1963 (1) -- 1989(3), ASCII file
  	RNET.UKM	RNET, 1963 (1) -- 1989(4), ASCII file
  	READUKM.TXT	notes on data files
  	UKM1.IN7	PcGive 7 data file combination: ma=log(M1), pa=log(P), x85a=log(TFE), RNET
  	UKM1.BN7	,,,
  	SJPESYS.FL	batch file for PcFiml, does system part of SJPE paper
  	SJPEMOD.FL	batch file for PcFiml, does model part of SJPE paper
  	SJPESYS.OUT	output from SJPESYS.FL
  	SJPEMOD.OUT	output from SJPEMOD.FL

• data sets accompanying The Foundations of Econometric Analysis.

  histects.zip	FISHER.IN7	FISHER.BN7
  	LEHFELDT.IN7	LEHFELDT.BN7
  	MOORE.IN7	MOORE.BN7
  	SCHULTZ.IN7	SCHULTZ.BN7
  	TINBERGN.IN7	TINBERGN.BN7	TINBERGN.DAT

• data set accompanying Modelling UK Inflation, 1875-1991 (Journal of Applied Econometrics, 16, 2001) Journal of Applied Econometrics data archive.

For information on PcGive, or to download a demo version, follow one of the PcGive links:

• PcGive (UK)
• PcGive (USA)
• PcNaive (PcNaive is not a separate product anymore, but now part of PcGive. This link is to PcNaive information that is included with PcGive)

• Macro Econometrics for undergraduates
• Computer Classes for 1st Year MPhil
• Econometric Modelling: Theory of Reduction
• Downloadable software
• Forecasting for 2nd Year MPhil

• Econometrics Links of the Econometrics Journal
• h (for MS-VAR and other resources)
• Jurgen A Doornik (for Ox and other resources)
• Nuffield College
• David F Hendry's official page at Nuffield College
• OxMetrics.net
• PcGive (UK)
• PcGive (USA)
• PcNaive
• Timberlake Consultants (distributors of PcGive and Ox)
• University of Oxford, Department of Economics

Hendry, D.F. and B. Nielsen (2007), Econometric Modeling: A Likelihood Approach. Princeton University Press.

J. Campos, N.R. Ericsson and D.F. Hendry (2004) General to Specific Modelling. Edward Elgar. Forthcoming.

Clements, M.P. and D.F. Hendry (2002). A Companion to Economic Forecasting. Oxford: Blackwell Publishers. (ISBN 0631215697)

Hendry, D.F. and N.R. Ericsson (2001) Understanding Economic Forecasts Cambridge, Mass.: MIT Press.

Doornik, J.A. and D.F. Hendry (2001). Interactive Monte Carlo Experimentation in Econometrics Using PcNaive London: Timberlake Consultants Press.

Doornik, J.A. and D.F. Hendry (2001). GiveWin: An Interface to Empirical Modelling (2nd edition), London: Timberlake Consultants Press. (ISBN 0-9533394-3-2) (1st ed. 1996, 2nd ed. 1999)

Hendry, D.F. and J.A. Doornik (2001). Empirical Econometric Modelling Using PcGive Volumes I, II and III London: Timberlake Consultants Press. (Vol I: 2nd ed. 1999, 1st ed. 1996; version 8: 1994, version 7: 1992) (Vol II: 2nd ed. 1999, 1st ed. 1997; version 8: 1994)

D.F. Hendry and H-M. Krolzig (2001). Automatic Econometric Model Selection London: Timberlake Consultants Press.

Hendry, D.F. (2001) Econometrics: Alchemy or Science? 2nd Edition. Oxford: Oxford University Press. (ISBN 0-19-829354-2)

W. A. Barnett, D. F. Hendry, S. Hylleberg, T. Teräsvirta, D. Tjøstheim, and A. Würtz (eds) (2000). Nonlinear Econometric Modeling in Time Series. Proceedings of the Eleventh International Symposium in Economic Theory Cambridge: Cambridge University Press.

Clements, M.P. and D.F. Hendry (1999). Forecasting Non-stationary Economic Time Series. Cambridge, Mass.: MIT Press.

Clements, M.P. and D.F. Hendry (1998). Forecasting Economic Time Series. Cambridge: Cambridge University Press. (ISBN 0-521-634806)

Hendry, D.F. and M.S. Morgan (1995). The Foundations of Econometric Analysis. Cambridge: Cambridge University Press. (ISBN 0-521-38043-X)

• Data

Hendry, D.F. (1995). Dynamic Econometrics. Oxford: Oxford University Press.
(ISBN 0-19-828317-2)

• Corrections
• Data
• Solutions to answers: Forthcoming.
• Chinese Edition, 1998.

Banerjee, A., J.J. Dolado, J.W. Galbraith, and D.F. Hendry (1993). Co-integration, Error Correction and the Econometric Analysis of Non-Stationary Data. Oxford: Oxford University Press. (ISBN 0-19-828700-3)

• Corrections

Hendry, D.F. (1993). Econometrics: Alchemy or Science? Oxford: Blackwell Publishers. (ISBN 1-55786-264-8)

Doornik, J.A. and D.F. Hendry (1992). PcGive 7: An Interactive Econometric Modelling System. Oxford: Institute of Economics and Statistics, University of Oxford.

Hendry, D.F., A.J. Neale, and N.R. Ericsson (1991). PC-NAIVE, An Interactive Program for Monte Carlo Experimentation in Econometrics. Version 6.0. Oxford: Institute of Economics and Statistics, University of Oxford.

Hendry, D.F. and K.F. Wallis (Eds.) (1984). Econometrics and Quantitative Economics. Oxford: Basil Blackwell.

2007

• Hendry, D.F. and M. Massmann (2007), `Co-breaking: Recent Advances and a Synopsis of the
  Literature', Journal of Business and Economic Statistics, 25, 33--51.

2006

• Hendry, D.F. (2006), `Robustifying Forecasts from Equilibrium-Correction Models', Journal of Econometrics, 135, 399--426.
• Clements, M.P. and D.F. Hendry (2006), `Forecasting with Breaks', 605--657 in G. Elliott, C.W.J. Granger and A. Timmermann (eds), Handbook of Economic Forecasting, Elsevier.
• Doornik, J.A., D.F. Hendry and N. Shephard (2006), `Parallel Computation In Econometrics:
  A Simplified Approach', 449--476 in E.J. Kontoghiorghes (ed.) Handbook of Parallel Computing and Statistics, Chapman & Hall/CRC Press.
• Hendry, D.F. (2006), `A Comment on `Specification Searches in Spatial Econometrics:
  The Relevance of Hendry's Methodology', Regional Science and Urban Economics, 36, 309--312.

2005

• Hendry, D.F. and H-M. Krolzig (2005), The Properties of Automatic Gets Modelling, Economic Journal, 115, C32--C61.
• Chevillon, G. and Hendry, D.F. (2005) `Non-parametric Direct Multi-step Estimation for Forecasting Economic Processes, International Journal of Forecasting, 21, 201--218.
• Granger, C.W.J. and D.F. Hendry (2005), A Dialogue Concerning a New Instrument for Econometric Modeling, Econometric Theory, 21, 278--297.
• Hendry, D.F. (2005), Bridging the Gap: Linking Economics and Econometrics, in C. Diebolt and C. Kyrtsou, New Trends in Macroeconomics, Springer Verlag.
• Hendry, D.F. and C. Santos (2005), Regression Models with Data-based Indicator Variables,
  Oxford Bulletin of Economics and Statistics, 67, 571--595.
• Campos, J., N.R. Ericsson and D.F. Hendry (2005), Editors' Introduction to General to Specific Modelling, 1--81, Edward Elgar.
• Clements, M.P. and D.F. Hendry (2005), Evaluating a Model by Forecast Performance,
  Oxford Bulletin of Economics and Statistics, 67, 931--956
• Hendry, D.F. and G.E. Mizon (2005), Forecasting in the Presence of Structural Breaks and Policy Regime Shifts, p480--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.

2004

• Ericsson, N.R and D.F. Hendry (2004), The ET Interview: Professor David F. Hendry, Econometric Theory, 20, 745--806.
• Hendry, D.F. and H-M. Krolzig (2004), We Ran One Regression, Oxford Bulletin of Economics and Statistics, 66, 799--810.
• Hendry, D.F. (2004), The Nobel Memorial Prize for Clive W.J. Granger. Scandinavian Journal of Economics, 106, 187--213.
• Clements, M.P. and D.F. Hendry (2004), Pooling of Forecasts. Econometrics Journal, 7, 1--31.
• Hendry, D.F. and H-M. Krolzig (2004), 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.
• Hendry, D.F. and H-M. Krolzig (2004), Automatic Model Selection: A New Instrument for Social Science. Electoral Studies, 23, 525--544.
• Hendry, D.F. (2004), Exogeneity and Causality in Non-stationary Economic Processes. 21--48 in New Directions in Macromodelling, edited by A. Welfe, North Holland.

2003

• Hendry, D.F. (2003), J. Denis Sargan and the Origins of LSE Econometric Methodology. Econometric Theory, 19, 457-480.
• Clements, M.P. and D.F. Hendry (2003), Economic Forecasting: Some Lessons from Recent Research Economic Modelling. 20, 301-329.
• Hendry, D.F. (2003), Forecasting Pitfalls Bulletin of EU and US Inflation and Macroeconomic Analysis. 100, 65-82.
• Hendry, D.F. and H-M. Krolzig (2003), New Developments in Automatic General-to-specific Modelling. 379-419 in Econometrics and the Philosophy of Economics, edited by B.P. Stigum, Princeton University Press.
• Haldrup N., Hendry, D.F. and H. van Dijk (2003), Guest Editors’ Introduction: Model Selection and Evaluation in Econometrics. Oxford Bulletin of Economics and Statistics, 65, 681-688.
• Campos J., Hendry, D.F. and H-M. Krolzig (2003), Consistent Model Selection by an Automatic Gets Approach. Oxford Bulletin of Economics and Statistics, 65, 803-819.
• Hendry, D.F. and P.C.B. Phillips (2003), John Denis Sargan 1924--1996. Proceedings of the British Academy, 120, 385-409.

2002

• Hendry, D.F. (2002), Applied econometrics without sinning. Journal of Economic Surveys. 16, 591-604.
• Hendry, D.F. (2002), 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.
• Clements, M.P. and D.F. Hendry (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.
• Clements, M.P. and D.F. Hendry (2002), Explaining forecast failure in macroeconomics. 539-571 in A Companion to Economic Forecasting, edited by Clements, M. P. and Hendry, D. F., Blackwell Publishers.
• Clements, M.P. and D.F. Hendry (2002), Modelling methodology and forecast failure. The Econometrics Journal, 5, 319-344..

2001

• Hendry, D.F. (2001), Achievements and challenges in econometric methodology. Journal of Econometrics, 100.
• Hendry, D.F. (2001), Modelling UK inflation, 1875-1991. Journal of Applied Econometrics, 16, 255-275.   [data]
• Clements, M.P. and D.F. Hendry (2001). Forecasting with difference and trend stationary models. The Econometrics Journal, 4, S1-S19.
• Clements, M.P. and D.F. Hendry (2001). An historical perspective on forecast errors. National Institute Economic Review, 177 (July), 70-82.
• Clements, M.P. and D.F. Hendry (2001). Explaining the results of the M3 forecasting competition. International Journal of Forecasting, 17, 550-554. (Part of Commentaries on the M3-Competition.)
• Beyer, A., J.A. Doornik, and D.F. Hendry. (2001), Constructing Historical Euro-Zone Data. Economic Journal, 111, 308-327.   [data]
• Hendry, D.F. and K. Juselius(2001), Explaining Cointegration Analysis: Part II. Energy Journal, 22, 75-120.
• Krolzig, H-M. and Hendry, D.F. (2001). Computer Automation of General-to-Specific Model Selection Procedures. Journal of Economic Dynamics and Control, 25, 831-866.
• Hendry, D.F. and M.H. Pesaran (2001) (editors), Studies in Empirical Macro-econometrics, Journal of Applied Econometrics, 16.
  Editors' Introduction, pp. 197-202.

2000

• Beyer, A., J.A. Doornik and Hendry, D.F. (2000). Re-constructing Aggregate Euro-Zone Data. Journal of Common Market Studies, 38, 57--68.   [data]
• Hendry, D.F. and Clements, M.P. (2000). Economic Forecasting in the Face of Structural Breaks. In S. Holly and M. Weale (Eds.), Econometric Modelling: Techniques and Applications. Cambridge: Cambridge University Press.
• Hendry, D.F. and Mizon, G.E. (2000). 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.
• Hendry, D.F. and Mizon, G.E. (2000). 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.
• Hendry, D.F. and Juselius, K. (2000). Explaining Cointegration Analysis: Part I. Energy Journal, 21, 1--42.
• Hendry, D.F. (2000). Epilogue: the Success of General-to-specific Model Selection. In Hendry, D.F. Econometrics: Alchemy or Science? New Edition. Oxford: Oxford University Press.
• Hendry, D.F. (2000). On Detectable and Non-detectable Structural Change. Structural Change and Economic Dynamics, 11, 45--65.
• Hendry, D.F. (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.

1999

• Hendry, D.F. (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.
• Hendry, D.F. and Mizon, G.E. (1999). The Pervasiveness of Granger Causality in Econometrics, p102--134 in R.F. Engle and H. White (Eds.) Cointegration, Causality and Forecasting. Oxford University Press.
• Hendry, D.F. and Mizon, G.E. (1999). On Selecting Policy Analysis Models by Forecast Accuracy, in A.B. Atkinson and N.H. Stern (Eds.), Putting Economics to Work: Essays in Honour of Michio Morishima. STICERD, London School of Economics.
• Hendry, D.F. and Krolzig, H-M. (1999). Improving on `Data Mining Reconsidered' by K.D. Hoover and S.J. Perez. Econometrics Journal, 2, 41--58.
• Doornik, J.A. and Hendry, D.F. (1999). The Impact of Computational Tools on Time-series Econometrics. In T. Coppock (Ed.), Information Technology and Scholarship. Oxford: Oxford University Press.
• Clements, M.P. and D.F. Hendry (1999). On Winning Forecasting Competitions in Economics. Spanish Economic Review, 1, 123--160.
• Ericsson, N.R. and D.F. Hendry (1999). Encompassing and Rational Expectations: How Sequential Corroboration can imply Refutation. Empirical Economics, 24, 1--21.

1998

• Doornik, J.A., Nielsen, B. and Hendry, D.F. (1998). Inference in Cointegrating Models: UK M1 Revisited, Journal of Economic Surveys, 12, 533-572.
  Reprinted in M. McAleer and L. Oxley (1999). Practical Issues in Cointegration Analysis. Oxford: Blackwell Publishers.   [data]
• Clements, M.P. and D.F. Hendry (1998). Forecasting Economic Processes. International Journal of Forecasting, 14, 111-131.
• Clements, M.P. and D.F. Hendry (1998). Forecasting Economic Processes - A reply. International Journal of Forecasting, 14, 139-143.
• Ericsson, N.R., D.F. Hendry, and G.E. Mizon (1998). Exogeneity, Cointegration and Economic Policy Analysis. Journal of Business and Economic Statistics, 16, 1-18.
• Ericsson, N.R., D.F. Hendry, and K.M. Prestwich (1998). The Demand for Broad Money in the United Kingdom, 1878-1993. Scandinavian Journal of Economics, 100, 289-324.
• Ericsson, N.R., D.F. Hendry, and K.M. Prestwich (1998). Friedman and Schwartz (1982) Revisited: Assessing Annual and Phase-average Models of Money Demand in the United Kingdom. Empirical Economics, 23, 401--415.
• Hendry, D.F. and G.E. Mizon (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.

1997

• Hendry, D.F. (1997). On Congruent Econometric Relations: A Comment. Carnegie-Rochester Conference Series on Public Policy 47, 163-190.
• Hendry, D.F. (1997). Cointegration Analysis: An International Enterprise. In H. Jeppesen and E. Starup-Jensen (Eds.), University of Copenhagen: Centre of Excellence. Copenhagen: University of Copenhagen.
• Hendry, D.F. (1997). The Econometrics of Macro-economic Forecasting. Economic Journal, 107, 1330-1357.
• Clements, M.P. and D.F. Hendry (1997). An Eempirical Study of Seasonal Unit Roots in Forecasting. International Journal of Forecasting, 13, 341-355.
• Hendry, D.F. and J.A. Doornik (1997). The Implications for Econometric Modelling of Forecast Failure. Scottish Journal of Political Economy, 44, 437-461.

1996

• Hendry, D.F. (1996). On the constancy of time-series econometric equations. Economic and Social Review, 27, 401-422.
• Hendry, D.F. (1996). Typologies of linear dynamic systems and models. Journal of Statistical Planning and Inference, 49, 177-201. Banerjee, A., D.F. Hendry, and G.E. Mizon (1996). The econometric analysis of economic policy. Oxford Bulletin of Economics and Statistics, 58, 573-600.
• Campos, J., N.R. Ericsson, and D.F. Hendry (1996). Cointegration tests in the presence of structural breaks. Journal of Econometrics, 70, 187-220.
• Clements, M.P. and D.F. Hendry (1996). Intercept corrections and structural change. Journal of Applied Econometrics, 11, 475-494.
• Clements, M.P. and D.F. Hendry (1996). Multi-step estimation for forecasting. Oxford Bulletin of Economics and Statistics, 58, 657-684.
• Emerson, R.A. and D.F. Hendry (1996). An evaluation of forecasting using leading indicators. Journal of Forecasting, 15, 271-91.
• Florens, J.-P., D.F. Hendry, and J.-F. Richard (1996). Encompassing and specificity. Econometric Theory, 12, 620-656.

1995

• Hendry, D.F. (1995). Econometrics and business cycle empirics. Economic Journal, 105, 1622-1636.
• Hendry, D.F. (1995). On the interactions of unit roots and exogeneity. Econometric Reviews, 14, 383-419.
• Hendry, D.F. (1995). 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.
• Clements, M.P. and D.F. Hendry (1995). Forecasting in cointegrated systems. Journal of Applied Econometrics, 10, 127-146.

1994

• Hendry, D.F. (1994). HUS revisited. Oxford Review of Economic Policy, 10, 86-106.
• Clements, M.P. and D.F. Hendry (1994). 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.
• Ericsson, N.R., D.F. Hendry, and H.-A. Tran (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.
• Govaerts, B., D.F. Hendry, and J.-F. Richard (1994). Encompassing in stationary linear dynamic models. Journal of Econometrics, 63, 245-270.
• Hendry, D.F. and M.P. Clements (1994). 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.
• Hendry, D.F. and J.A. Doornik (1994). Modelling linear dynamic econometric systems. Scottish Journal of Political Economy, 41, 1-33.   [data]
• Clements, M.P. and D.F. Hendry (1993). On the limitations of comparing mean squared forecast errors. Journal of Forecasting, 12, 617-637. With discussion.

1993

• Cook, S. and D.F. Hendry (1993). The theory of reduction in econometrics. Poznan Studies in the Philosophy of the Sciences and the Humanities, 38, 71-100.
• Engle, R.F. and D.F. Hendry (1993). Testing super exogeneity and invariance in regression models. Journal of Econometrics, 56, 119-139.
• Hendry, D.F. and G.E. Mizon (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.
• Hendry, D.F. and R.M. Starr (1993). The demand for M1 in the USA: A reply to James M. Boughton. Economic Journal, 103, 1158-1169.

1992

• Hendry, D.F. (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.
• Baba, Y., D.F. Hendry, and R.M. Starr (1992). The demand for M1 in the U.S.A., 1960-1988. Review of Economic Studies, 59, 25-61.
• Banerjee, A. and D.F. Hendry (1992). Testing integration and cointegration. Oxford Bulletin of Economics and Statistics, 54. Special issue.
• Banerjee, A. and D.F. Hendry (1992). Testing integration and cointegration: An overview. Oxford Bulletin of Economics and Statistics, 54, 225-255.
• Favero, C. and D.F. Hendry (1992). Testing the Lucas critique: A review. Econometric Reviews, 11, 265-306.

1991

• Hendry, D.F. and N.R. Ericsson (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.
• Hendry, D.F. and N.R. Ericsson (1991). Modeling the demand for narrow money in the United Kingdom and the United States. European Economic Review, 35, 833-886.
• Hendry, D.F. and A.J. Neale (1991). 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.
• Hendry, D.F. and J.-F. Richard (1991). 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.

1990

• Hendry, D.F. (1990). Using PC-NAIVE in teaching econometrics. Oxford Bulletin of Economics and Statistics, 53, 199-223.
• Campos, J., N.R. Ericsson, and D.F. Hendry (1990). An analogue model of phase-averaging procedures. Journal of Econometrics, 43, 275-292.
• Hendry, D.F., E.E. Leamer, and D.J. Poirier (1990). A conversation on econometric methodology. Econometric Theory, 6, 171-261.
• Hendry, D.F. and G.E. Mizon (1990). Procrustean econometrics: or stretching and squeezing data. In C.W.J. Granger (Ed.), Modelling Economic Series, pp. 121-136. Oxford: Clarendon Press.
• Hendry, D.F., J.N.J. Muellbauer, and T.A. Murphy (1990). The econometrics of DHSY. In J.D. Hey and D. Winch (Eds.), A Century of Economics, pp. 298-334. Oxford: Basil Blackwell.

1989

• Hendry, D.F. (1989). Comment on intertemporal consumer behaviour under structural changes in income. Econometric Reviews, 8, 111-121.
• Hendry, D.F. and M.S. Morgan (1989). A re-analysis of confluence analysis. Oxford Economic Papers, 41, 35-52.
• Hendry, D.F. and J.-F. Richard (1989). 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.
• Hendry, D.F., A. Spanos, and N.R. Ericsson (1989). The contributions to econometrics in Trygve Haavelmo's the probability approach in econometrics. Sosial&oe;konomen, 11, 12-17.

1988

• Hendry, D.F. (1988). Econometrics in action. Empirica, 2/87, 135-156.
• Hendry, D.F. (1988). Encompassing. National Institute Economic Review, 125, 88-92.
• Hendry, D.F. (1988). The encompassing implications of feedback versus feedforward mechanisms in econometrics. Oxford Economic Papers, 40, 132-149.
• Hendry, D.F. (1988). Some foreign observations on macro-economic model evaluation activities at INSEE. In Groupes d'Etudes Macroeconometriques. INSEE.
• Hendry, D.F. and A.J. Neale (1988). Interpreting long-run equilibrium solutions in conventional macro models: A comment. Economic Journal, 98, 808-817.
• Hendry, D.F., A.J. Neale, and F.Srba (1988). Econometric analysis of small linear systems using PC-FIML. Journal of Econometrics, 38, 203-226.

1987

• Hendry, D.F. (1987). Econometric methodology: A personal perspective. In T.F. Bewley (Ed.), Advances in Econometrics, Chapter 10. Cambridge: Cambridge University Press.
• Hendry, D.F. and A.J. Neale (1987). 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.

1986

• Hendry, D.F. (1986). Econometric modelling with cointegrated variables. Oxford Bulletin of Economics and Statistics, 48(3). Special issue.
• Hendry, D.F. (1986). Econometric modelling with cointegrated variables: An overview. Oxford Bulletin of Economics and Statistics, 48, 201-212.
• Hendry, D.F. (1986). Empirical modelling in dynamic econometrics: The new-construction sector. Applied Mathematics and Computation, 21, 1-36.
• Hendry, D.F. (1986). An excursion into conditional variance land. Econometric Reviews, 5, 63-69. (Comment).
• Hendry, D.F. (1986). The role of prediction in evaluating econometric models. In Proceedings of the Royal Society, Volume A407, pp. 25-33.
• Hendry, D.F. (1986). Using PC-GIVE in econometrics teaching. Oxford Bulletin of Economics and Statistics, 48, 87-98.
• Banerjee, A., J.J. Dolado, D.F. Hendry, and G.W. Smith (1986). Exploring equilibrium relationships in econometrics through static models: Some Monte Carlo evidence. Oxford Bulletin of Economics and Statistics, 48, 253-277.
• Chong, Y.Y. and D.F. Hendry (1986). 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.

1985

• Hendry, D.F. (1985). 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.
• Engle, R.F., D.F. Hendry, and D.Trumbull (1985). Small sample properties of ARCH estimators and tests. Canadian Journal of Economics, 43, 66-93.
• Hendry, D.F. and N.R. Ericsson (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.

1984

• Hendry, D.F. (1984). 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.
• Hendry, D.F. (1984). 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.
• Hendry, D.F. (1984). Present position and potential developments: Some personal views on time-series econometrics. Journal of the Royal Statistical Society A, 147, 327-339.
• Hendry, D.F. and G.J. Anderson (1984). An econometric model of United Kingdom building societies. Oxford Bulletin of Economics and Statistics, 46, 185-210.
• Hendry, D.F., A.R. Pagan, and J.D. Sargan (1984). 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.

1983

• Hendry, D.F. (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.
• Hendry, D.F. (1983). On Keynesian model building and the rational expectations critique: A question of methodology. Cambridge Journal of Economics, 7, 69-75.
• Engle, R.F., D.F. Hendry, and J.-F. Richard (1983). Exogeneity. Econometrica, 51, 277-304. Reprinted in Hendry, D.F. (1993), Econometrics: Alchemy or Science? Oxford: Blackwell Publishers, and Oxford University Press, 2000.
• Hendry, D.F. and J.-F. Richard (1983). 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.

1982

• Hendry, D.F. (1982). A reply to Professors Maasoumi and Phillips. Journal of Econometrics, 19, 203-213.
• Hendry, D.F. (1982). The role of econometrics in macroeconomic analysis. UK Economic Prospect, 3, 26-38.
• Hendry, D.F. and J.-F. Richard (1982). 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.

1981

• Hendry, D.F. (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, Volume3, pp. 1-21. HMSO.
• Davidson, J.E.H. and D.F. Hendry (1981). 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.
• Hendry, D.F. and T.von Ungern-Sternberg (1981). 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.

1980

• Hendry, D.F. (1980). 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.
• Hendry, D.F. and F.Srba (1980). 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.
• Mizon, G.E. and D.F. Hendry (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.

before 1980

• Hendry, D.F. (1979). The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors. Journal of Econometrics, 9, 295-314.
• Hendry, D.F. (1979). 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.
• Davidson, J.E.H., D.F. Hendry, F. Srba, and J.S. Yeo (1978). 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.
• Hendry, D.F. and G.E. Mizon (1978). 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.
• Hendry, D.F. (1977). 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.
• Hendry, D.F. and G.J. Anderson (1977). 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, Volume3, 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.
• Hendry, D.F. and F.Srba (1977). The properties of autoregressive instrumental variables estimators in dynamic systems. Econometrica, 45, 969-990.
• Hendry, D.F. (1976). 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 B, 38, 24-25.
• Hendry, D.F. (1976). The structure of simultaneous equations estimators. Journal of Econometrics, 4, 51-88. Reprinted in Hendry, D.F. (1993), Econometrics: Alchemy or Science? Oxford: Blackwell Publishers, and Oxford University Press, 2000.
• Hendry, D.F. and A.R. Tremayne (1976). Estimating systems of dynamic reduced form equations with vector autoregressive errors. International Economic Review, 17, 463-471.
• Hendry, D.F. (1975). The consequences of mis-specification of dynamic structure, autocorrelation and simultaneity in a simple model with an application to the demand for imports. In G.A. Renton (Ed.), Modelling the Economy, Chapter 11. London: Heinemann Educational Books.
• Hendry, D.F. (1974). 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.
• Hendry, D.F. and R.W. Harrison (1974). Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares. Journal of Econometrics, 2, 151-174.
• Hendry, D.F. (1973). On asymptotic theory and finite sample experiments. Economica, 40, 210-217.
• Hendry, D.F. and P.K. Trivedi (1972). Maximum likelihood estimation of difference equations with moving-average errors: A simulation study. Review of Economic Studies, 32, 117-145.
• Hendry, D.F. (1971). Maximum likelihood estimation of systems of simultaneous regression equations with errors generated by a vector autoregressive process. International Economic Review, 12, 257-272. Correction in 15, p.260.
• Hendry, D.F. (1966). Survey of Student Income and Expenditure at Aberdeen University, 1963--64 and 1964--65. Scottish Journal of Political Economy, 13, 363--76.

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