Degree: Ph.D., London School of Economics
Tel.: 01865 281485
Office: Eagle House
Oxford OX2 6ED
Website: Personal Website
- Sir David F. Hendry elected as Academician by the Academy of Social Sciences
- Sir David F. Hendry appointed Honorary Doctor of Aarhus University
- Sir David F. Hendry has been selected as a 2013 Thomson Reuters Citation Laureate
- Professor Sir David Hendry has received the ESRC Celebrating Impact Lifetime Achievement Award
Latest working papers
- Improving the Teaching of Econometrics
- Evaluating Multi-Step System Forecasts with Relatively Few Forecast-Error Observations
- Detecting Volcanic Eruptions in Temperature Reconstructions by Designed Break-Indicator Saturation
- An Overview of Forecasting Facing Breaks
- Deciding Between Alternative Approaches In Macroeconomics
- Statistical Model Selection with 'Big Data'
Professor of Economics
Econometric methodology; time-series econometrics; applied macroeconometrics.
Summary: I investigate the theory and practice of econometric modelling and forecasting in a non-stationary and evolving world, when the model differs from the economy. First, model selection poses great difficulties, but recent research has revealed high success rates, and allows operational studies of alternative strategies. Second, when the processes being modelled are not time invariant, many of the famous theorems of economic forecasting no longer hold. A generalized taxonomy of forecast errors reveals the central role of unanticipated location shifts, and helps explain the outcomes of forecasting competitions. Surprisingly, other potential sources of forecast failure seem less relevant. Finally, co-breaking, corrections to reduce forecast-error biases, and model transformations all help robustify forecasts in the face of location shifts.
- MPhil Advanced Econometrics: macroeconometrics