David Forbes Hendry | |
---|---|
Born | Nottingham, England [1] | 6 March 1944
Alma mater | University of Aberdeen, London School of Economics |
Known for | Dynamic Econometrics, Forecasting, Model Selection, Monte Carlo Simulation, Mis-Specification Testing, Progressive Research Methodology, LSE approach to econometrics, Autometrics, PcGive, OxMetrics, Gets Modeling |
Awards | Guy Medal (Bronze, 1986) |
Scientific career | |
Fields | Econometrics |
Institutions | University of Oxford |
Doctoral advisor | John Denis Sargan |
Website | www |
Sir David Forbes Hendry, FBA CStat (born 6 March 1944) is a British econometrician, currently a professor of economics and from 2001 to 2007 was head of the economics department at the University of Oxford. He is also a professorial fellow at Nuffield College, Oxford. [2]
He obtained an M.A. in economics with first class honours from the University of Aberdeen in 1966. He then went to the London School of Economics and completed an MSc (with distinction) in Econometrics and Mathematical Economics in 1967. He received his PhD from the London School of Economics under the supervision of John Denis Sargan in 1970, and until joining the University of Oxford as professor of economics in 1982, was a lecturer, then reader and finally professor of economics at the LSE. [1] Hendry also served as a research professor at Duke University from 1987 until 1991.
His work is predominantly on time series econometrics and the econometrics of the demand for money. In recent years he has worked on the theory of forecasting and also on automated model building. He also studies the econometrics of climate change as co-director of the Climate Econometrics research centre at Nuffield College, Oxford. [3]
He was elected a fellow of the British Academy, a fellow of the Econometric Society, honorary member of the American Economic Association and foreign honorary member of the American Academy of Arts and Sciences.
In 2001 he received an honorary doctorate (dr. philos. h.c.) from The Norwegian University of Science and Technology (NTNU). [4]
He was knighted in the 2009 Birthday Honours. [5]
His most recent book is Hendry, D.F. and B. Nielsen (2007), Econometric Modeling: A Likelihood Approach (Princeton University Press).
"The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry", edited by Jennifer L Castle and Neil Shephard, was published by Oxford University Press in 2009.
Books
Journal articles
Other authors
Econometrics is an application of statistical methods to economic data in order to give empirical content to economic relationships. More precisely, it is "the quantitative analysis of actual economic phenomena based on the concurrent development of theory and observation, related by appropriate methods of inference". An introductory economics textbook describes econometrics as allowing economists "to sift through mountains of data to extract simple relationships". Jan Tinbergen is one of the two founding fathers of econometrics. The other, Ragnar Frisch, also coined the term in the sense in which it is used today.
Sir Clive William John Granger was a British econometrician known for his contributions to nonlinear time series analysis. He taught in Britain, at the University of Nottingham and in the United States, at the University of California, San Diego. Granger was awarded the Nobel Memorial Prize in Economic Sciences in 2003 in recognition of the contributions that he and his co-winner, Robert F. Engle, had made to the analysis of time series data. This work fundamentally changed the way in which economists analyse financial and macroeconomic data.
Trygve Magnus Haavelmo, born in Skedsmo, Norway, was an economist whose research interests centered on econometrics. He received the Nobel Memorial Prize in Economic Sciences in 1989.
Robert Fry Engle III is an American economist and statistician. He won the 2003 Nobel Memorial Prize in Economic Sciences, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility (ARCH)".
Cointegration is a statistical property of a collection (X1, X2, ..., Xk) of time series variables. First, all of the series must be integrated of order d (see Order of integration). Next, if a linear combination of this collection is integrated of order less than d, then the collection is said to be co-integrated. Formally, if (X,Y,Z) are each integrated of order d, and there exist coefficients a,b,c such that aX + bY + cZ is integrated of order less than d, then X, Y, and Z are cointegrated. Cointegration has become an important property in contemporary time series analysis. Time series often have trends—either deterministic or stochastic. In an influential paper , Charles Nelson and Charles Plosser (1982) provided statistical evidence that many US macroeconomic time series (like GNP, wages, employment, etc.) have stochastic trends.
Lars Peter Hansen is an American economist. He is the David Rockefeller Distinguished Service Professor in Economics, Statistics, and the Booth School of Business, at the University of Chicago and a 2013 recipient of the Nobel Memorial Prize in Economics.
Economic methodology is the study of methods, especially the scientific method, in relation to economics, including principles underlying economic reasoning. In contemporary English, 'methodology' may reference theoretical or systematic aspects of a method. Philosophy and economics also takes up methodology at the intersection of the two subjects.
Neil Shephard, FBA, is an econometrician, currently Frank B. Baird Jr., Professor of Science in the Department of Economics and the Department of Statistics at Harvard University.
In econometrics and statistics, a structural break is an unexpected change over time in the parameters of regression models, which can lead to huge forecasting errors and unreliability of the model in general. This issue was popularised by David Hendry, who argued that lack of stability of coefficients frequently caused forecast failure, and therefore we must routinely test for structural stability. Structural stability − i.e., the time-invariance of regression coefficients − is a central issue in all applications of linear regression models.
OxMetrics is an econometric software including the Ox programming language for econometrics and statistics, developed by Jurgen Doornik and David Hendry. OxMetrics originates from PcGive, one of the first econometric software for personal computers, initiated by David Hendry in the 1980s at the London School of Economics.
An error correction model (ECM) belongs to a category of multiple time series models most commonly used for data where the underlying variables have a long-run common stochastic trend, also known as cointegration. ECMs are a theoretically-driven approach useful for estimating both short-term and long-term effects of one time series on another. The term error-correction relates to the fact that last-period's deviation from a long-run equilibrium, the error, influences its short-run dynamics. Thus ECMs directly estimate the speed at which a dependent variable returns to equilibrium after a change in other variables.
The methodology of econometrics is the study of the range of differing approaches to undertaking econometric analysis.
John Denis Sargan, FBA was a British econometrician who specialized in the analysis of economic time-series.
Manuel Arellano is a Spanish economist specialising in econometrics and empirical microeconomics. Together with Stephen Bond, he developed the Arellano–Bond estimator, a widely used GMM estimator for panel data. This estimator is based on the earlier article by Arellano's PhD supervisor, John Denis Sargan, and Alok Bhargava. RePEc lists the paper about the Arellano-Bond estimator as the most cited article in economics.
The LSE approach to econometrics, named for the London School of Economics, involves viewing econometric models as reductions from some unknown data generation process (DGP). A complex DGP is typically modelled as the starting point and this complexity allows information in the data from the real world but absent in the theory to be drawn upon. The complexity is then reduced by the econometrician by a series of restrictions which are tested.
Michael Patrick Keane is an American-born economist; he is the Wm. Polk Carey Distinguished Professor at Johns Hopkins University. Keane was previously a professor at the University of New South Wales and the Nuffield Professor of Economics at the University of Oxford. He is considered one of the world's leading experts in the fields of Choice Modelling, structural modelling, simulation estimation, and panel data econometrics.
Andrew Donald Roy was a British economist who is known for the Roy model of self-selection and income distribution and Roy's safety-first criterion.
In statistics, a fixed-effect Poisson model is a Poisson regression model used for static panel data when the outcome variable is count data. Hausman, Hall, and Griliches pioneered the method in the mid 1980s. Their outcome of interest was the number of patents filed by firms, where they wanted to develop methods to control for the firm fixed effects. Linear panel data models use the linear additivity of the fixed effects to difference them out and circumvent the incidental parameter problem. Even though Poisson models are inherently nonlinear, the use of the linear index and the exponential link function lead to multiplicative separability, more specifically
Jean-François Richard is a Belgian-American economist, who is currently the distinguished university professor of Economics at the University of Pittsburgh. He has taught and done research at five major universities, primarily in the field of econometrics. His interests are auctions, computational methods, collusions, Bayesian methods and econometric modeling. He has been extensively involved as author, editor, and advisor with scholarly publications in econometrics and related fields.
Denise Rae Osborn is an Australian and British economist who currently works as the Secretary-General at the Royal Economic Society and as an Emeritus Professor of Econometrics at the University of Manchester. Her principal research interests have been in applied Time-Series modelling, particularly in seasonality in economic variables and dynamic modelling of macroeconomic relationships. Osborn has over 70 research publications in referred academic journals including Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Applied Econometrics, Journal of the Royal Statistical Society, and Journal of the American Statistical Association.