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The ET Interview: Professor David F. Hendry

David F. Hendry and Neil R. Ericsson
Econometric Theory
Vol. 20, No. 4 (Aug., 2004), pp. 743-804
Stable URL: http://www.jstor.org/stable/3533545
Page Count: 62
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Abstract

David Hendry was born of Scottish parents in Nottingham, England, on March 6, 1944. After an unpromising start in Glasgow schools, he obtained an M.A. in economics with first class honors from the University of Aberdeen in 1966. He then went to the London School of Economics and completed an M.Sc. (with distinction) in econometrics and mathematical economics in 1967 and a Ph.D. in economics in 1970 under Denis Sargan. His doctoral thesis ("The Estimation of Economic Models with Autoregressive Errors") provided intellectual seeds for his future research on the development of an integrated approach to modeling economic time series. David was appointed to a lectureship at the LSE while finishing his thesis and to a professorship at the LSE in 1977. In 1982, David moved to Oxford University as a professor of economics and a fellow of Nuffield College. At Oxford, he has also been a Leverhulme Personal Research Professor of Economics (1995-2000), and he is currently an ESRC Professorial Research Fellow and the head of the department of economics. Much of David's research has focused on constructing a unified approach to empirical modeling of economic time series. His 1995 book, "Dynamic Econometrics," is a milestone on that path. General-to-specific modeling is an important aspect of this empirical methodology, which has become commonly known as the "LSE" or "Hendry" approach. David is widely recognized as the most vocal advocate and ardent contributor to this methodology. His research also has aimed to make this methodology widely available and easy to implement, both through publicly available software packages that embed the methodology (notably, PcGive and PcGets) and by substantive empirical applications of the methodology. As highlighted in many of his papers, David's interest in methodology is driven by a passion for understanding how the economy works and, specifically, how best to carry out economic policy in practice. David's research has many strands: deriving and analyzing methods of estimation and inference for nonstationary time series; developing Monte Carlo techniques for investigating the small-sample properties of econometric techniques; developing software for econometric analysis; exploring alternative modeling strategies and empirical methodologies; analyzing concepts and criteria for viable empirical modeling of time series, culminating in computer-automated procedures for model selection; and evaluating these developments in simulation studies and in empirical investigations of consumer expenditure, money demand, inflation, and the housing and mortgage markets. Over the last dozen years, and in tandem with many of these developments on model design, David has reassessed the empirical and theoretical literature on forecasting, leading to new paradigms for generating and interpreting economic forecasts. Alongside these endeavors, David has pursued a long-standing interest in the history of econometric thought because of the insights provided by earlier analyses that were written when technique qua technique was less dominant. David's enthusiasm for econometrics and economics permeates his teaching and makes his seminars notable. Throughout his career, he has promoted innovative uses of computers in teaching, and, following the birth of the PC, he helped pioneer live empirical and Monte Carlo econometrics in the classroom and in seminars. To date, he has supervised over thirty Ph.D. theses. David has held many prominent appointments in professional bodies. He has served as president of the Royal Economic Society; editor of the "Review of Economic Studies," the "Economic Journal," and the "Oxford Bulletin of Economics and Statistics"; associate editor of "Econometrica" and the "International Journal of Forecasting"; president (Section F) of the British Association for the Advancement of Science; chairman of the UK's Research Assessment Exercise in economics; and special adviser to the House of Commons, both on monetary policy and on forecasting. He is a chartered statistician, a fellow of the British Academy and of the Royal Society of Edinburgh, and a fellow and council member of the Econometric Society. Among his many awards and honors, David has received the Guy Medal in Bronze from the Royal Statistical Society and honorary degrees from the Norwegian University of Science and Technology, Nottingham University, St. Andrews University, the University of Aberdeen, and the University of St. Gallen. In addition to his academic talents, David is an excellent chef and makes a great cup of cappuccino!

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