Working Paper

Dynamic Econometrics in Action: A Biography of David F. Hendry

Abstract: David Hendry has made–and continues to make–pivotal contributions to the econometrics of empirical economic modeling, economic forecasting, econometrics software, substantive empirical economic model design, and economic policy. This paper reviews his contributions by topic, emphasizing the overlaps between different strands in his research and the importance of real-world problems in motivating that research.

Keywords: Cointegration; Consumers' expenditure; Dynamic specification; Equilibrium correction; Forecasting; Machine learning; Model evaluation; Money demand; PcGive; Structural breaks;

JEL Classification: C52; C53;

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Bibliographic Information

Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: International Finance Discussion Papers

Publication Date: 2021-03-26

Number: 1311