The Econometrics of Macroeconomic Forecasting (ESRC project L116251015), Anindya Banerjee, Michael P. Clements (Warwick), David F. Hendry, Hans-Martin Krolzig and Grayham E. Mizon (Southampton), 1996-99.
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, 1999-2001. Annual report 1999.
Modelling Cointegrated Processes (ESRC project R000234954), John N. J. Muellbauer, David F. Hendry, Jurgen A. Doornik and Gavin Cameron, 1994-97. Final report.
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 PcGiveVolumes 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).
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.
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)
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.