November 2016

Economic Forecasting in Theory and Practice: An Interview with David F. Hendry

Neil R. Ericsson


David Hendry has made major contributions to many areas of economic forecasting. He has developed a taxonomy of forecast errors and a theory of unpredictability that have yielded valuable insights into the nature of forecasting. He has also provided new perspectives on many existing forecast techniques, including mean square forecast errors, add factors, leading indicators, pooling of forecasts, and multi-step estimation. In addition, David has developed new forecast tools, such as forecast encompassing; and he has improved existing ones, such as nowcasting and robustification to breaks. This interview for the International Journal of Forecasting explores David Hendry's research on forecasting.

Keywords: Encompassing, equilibrium correction models, error correction, evaluation, exogeneity, forecasting, modeling, nowcasting, parameter constancy, robustification, structural breaks.


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Last Update: June 19, 2020