FRB: The ET Interview: Professor David F. Hendry

International Finance Discussion Papers

The ET Interview: Professor David F. Hendry
Neil R. Ericsson
2004-811 (July 2004)

Abstract: This interview for Econometric Theory explores David Hendry's research. Issues discussed include estimation and inference for nonstationary time series; econometric methodology; strategies, concepts, and criteria for empirical modeling; the general-to-specific approach, as implemented in the computer packages PcGive and PcGets; computer-automated model selection procedures; David's textbook Dynamic Econometrics; Monte Carlo techniques (PcNaive); evaluation of these developments in simulation studies and in empirical investigations of consumer expenditure, money demand, inflation, and the housing and mortgage markets; economic forecasting and policy analysis; the history of econometric thought; and the use of computers for live empirical and Monte Carlo econometrics.

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Keywords
cointegration, conditional models, consumers' expenditure, diagnostic testing, dynamic specification, encompassing, equilibrium-correction models, error-correction models, exogeneity, forecasting, general-to-specific modeling, housing market, inflation, model design, model evaluation, money demand, Monte Carlo, mortgage market, parameter constancy, PcGets, PcGive, PcNaive, sequential reduction.

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