David F Hendry
Kt., Ph.D., London School of Economics, FBA, FRSE, Fellow of the Econometric Society, Foreign Honorary Member of the American Academy of Arts and Sciences, Foreign Honorary Member of the American Economic Association.
Professor of Economics
College or Institution: Nuffield College
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Research Interests
Summary: Econometric methodology; time-series econometrics; applied macroeconometrics.
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.
Research Group(s)
Recent Working Papers
- Anthropogenic Influences on Atmospheric CO2 (2011)
- Forecasting breaks and forecasting during breaks (2011)
- On Not Evaluating Economic Models by Forecast Outcomes (2011)
- Unpredictability in Economic Analyis, Econometric Modelling and Forecasting (2011)
- An Open-model Forecast-error Taxonomy (2011)
- A Tale of 3 Cities: Model Selection in Over-, Exact, and Under-specified Equations (2011)
- Mathematical Models and Economic Forecasting: Some Uses and Mis-Uses of Mathematics in Economics (2011)
- Empirical Economic Model Discovery and Theory Evaluation (2011)
- Model Selection in Equations with Many 'Small' Effects (2011)
- Testing the Invariance of Expectations Models of Inflation (2010)
- see more working papers by this author
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Category: Faculty