Sir David Forbes Hendry, FBA CStat (born 6 March 1944) is a British

econometrician Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships. M. Hashem Pesaran (1987). "Econometrics," '' The New Palgrave: A Dictionary of Economics'', v. 2, p. 8 p. 8 ...

, 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 Nuffield College () is one of the constituent colleges of the University of Oxford in England. It is a graduate college and specialises in the social sciences, particularly economics, politics and sociology. Nuffield is one of Oxford's newer c ...

. He obtained an M.A. in economics with first class honours from the

University of Aberdeen , mottoeng = The fear of the Lord is the beginning of wisdom , established = , type = Public research universityAncient university , endowment = £58.4 million (2021) , budget ...

in 1966. He then went to the

London School of Economics , mottoeng = To understand the causes of things , established = , type = Public research university , endowment = £240.8 million (2021) , budget = £391.1 milli ...

and completed an MSc (with distinction) in Econometrics and Mathematical Economics in 1967. He received his PhD from the

London School of Economics , mottoeng = To understand the causes of things , established = , type = Public research university , endowment = £240.8 million (2021) , budget = £391.1 milli ...

under the supervision of

John Denis Sargan John Denis Sargan, FBA (23 August 1924 – 13 April 1996) was a British econometrician who specialized in the analysis of economic time-series. Sargan was born in Doncaster, Yorkshire in 1924, and was educated at Doncaster Grammar School and ...

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. Hendry also served as a research professor at

Duke University Duke University is a private research university in Durham, North Carolina. Founded by Methodists and Quakers in the present-day city of Trinity in 1838, the school moved to Durham in 1892. In 1924, tobacco and electric power industrialist Jam ...

from 1987 until 1991. His work is predominantly on time series econometrics and the econometrics of the

demand for money In monetary economics, the demand for money is the desired holding of financial assets in the form of money: that is, cash or bank deposits rather than investments. It can refer to the demand for money narrowly defined as M1 (directly spendable ...

. 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. He was elected a fellow of the

British Academy The British Academy is the United Kingdom's national academy for the humanities and the social sciences. It was established in 1902 and received its royal charter in the same year. It is now a fellowship of more than 1,000 leading scholars s ...

, a fellow of the

Econometric Society The Econometric Society is an international society of academic economists interested in applying statistical tools to their field. It is an independent organization with no connections to societies of professional mathematicians or statisticians. ...

, honorary member of the

American Economic Association The American Economic Association (AEA) is a learned society in the field of economics. It publishes several peer-reviewed journals acknowledged in business and academia. There are some 23,000 members. History and Constitution The AEA was esta ...

and foreign honorary member of the

American Academy of Arts and Sciences The American Academy of Arts and Sciences (abbreviation: AAA&S) is one of the oldest learned societies in the United States. It was founded in 1780 during the American Revolution by John Adams, John Hancock, James Bowdoin, Andrew Oliver, a ...

. In 2001 he received an

honorary doctorate An honorary degree is an academic degree for which a university (or other degree-awarding institution) has waived all of the usual requirements. It is also known by the Latin phrases ''honoris causa'' ("for the sake of the honour") or ''ad hono ...

(dr. philos. h.c.) from The Norwegian University of Science and Technology (NTNU). He was

knighted A knight is a person granted an honorary title of knighthood by a head of state (including the Pope) or representative for service to the monarch, the church or the country, especially in a military capacity. Knighthood finds origins in the G ...

in the 2009 Birthday Honours. 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 Neil Shephard (born 8 October 1964), British Academy, 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. His most well known c ...

, was published by Oxford University Press in 2009.

Selected publications

Books *Hendry, D.F. (1995). Dynamic Econometrics. Oxford: Oxford University Press. () Journal Articles *Hendry, D.F. and P.K. Trivedi (1972). "Maximum likelihood estimation of difference equations with moving-average errors: A simulation study".

Review of Economic Studies ''The Review of Economic Studies'' (also known as ''REStud'') is a quarterly peer-reviewed academic journal covering economics. It was established in 1933 by a group of economists based in Britain and the United States. The original editorial team ...

, 32, 117–145. *Hendry, D.F. and R.W. Harrison (1974). "Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares."

Journal of Econometrics The ''Journal of Econometrics'' is a scholarly journal in econometrics. It was first published in 1973. Its current managing editors are Serena Ng and Elie Tamer, Torben Andersen and Xiaohong Chen serve as editors. The journal publishes work d ...

, 2, 151–174. *Hendry, D. F. (1974). "Stochastic Specification in an Aggregate Demand Model of the United Kingdom."

Econometrica ''Econometrica'' is a peer-reviewed academic journal of economics, publishing articles in many areas of economics, especially econometrics. It is published by Wiley-Blackwell on behalf of the Econometric Society. The current editor-in-chief is ...

42(3): 559–578. *Hendry, D.F. (1976). "Discussion of 'estimation of linear functional relationships: Approximate distributions and connections with simultaneous equations in econometrics" by T.W. Anderson.

Journal of the Royal Statistical Society The ''Journal of the Royal Statistical Society'' is a peer-reviewed scientific journal of statistics. It comprises three series and is published by Wiley for the Royal Statistical Society. History The Statistical Society of London was founded ...

B, 38, 24–25. *Hendry, D.F. (1976)." The structure of simultaneous equations estimators".

, 4, 51–88. *Hendry, D. F. and F. Srba (1977). "The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems."

45(5): 969–990. *Davidson, J.E.H., D.F. Hendry, F. Srba, and J.S. Yeo (1978). "Econometric modelling of the aggregate time-series relationship between consumers' expenditure and income in the United Kingdom."

Economic Journal ''The Economic Journal'' is a peer-reviewed academic journal of economics published on behalf of the Royal Economic Society by Oxford University Press. The journal was established in 1891 and publishes papers from all areas of economics.The edit ...

, 88, 661–692. *Hendry, D.F. and G.E. Mizon (1978). Serial correlation as a convenient simplification, not a nuisance: A comment on a study of the demand for money by the Bank of England.

, 88, 549–563. *Hendry, D.F. (1979). The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors.

, 9, 295–314. *Hendry, D.F. and F. Srba (1980). "AUTOREG: A computer program library for dynamic econometric models with autoregressive errors".

,"9 12, 85–102. *Mizon, G.E. and D.F. Hendry (1980). "An empirical application and Monte Carlo analysis of tests of dynamic specification."

," 49, 21–45. *Engle, R. F., D. F. Hendry and J.-F. Richard (1983). "Exogeneity."

51(2): 277–304. *Chong, Y. Y. and D. F. Hendry (1986). "Econometric Evaluation of Linear Macro-Economic Models."

53(4): 671–690. *Hendry, D.F., A.J. Neale, and F. Srba (1988). "Econometric analysis of small linear systems using PC-FIML."

, 38, 203–226. *Campos, J., N.R. Ericsson, and D.F. Hendry (1990). An analogue model of phase-averaging procedures.

, 43, 275–292. *Hendry, D. F. and N. R. Ericsson (1991). "An Econometric Analysis of UK Money Demand in Monetary Trends in the United States and the United Kingdom by Milton Friedman and Anna J. Schwartz."

American Economic Review The ''American Economic Review'' is a monthly peer-reviewed academic journal published by the American Economic Association. First published in 1911, it is considered one of the most prestigious and highly distinguished journals in the field of ec ...

: 8–38. *Baba, Y., D.F. Hendry, and R.M. Starr (1992). "The demand for M1 in the U.S.A., 1960–1988."

, 59, 25–61. * Robert F. Engle and D.F. Hendry (1993). "Testing super exogeneity and invariance in regression models."

, 56, 119–139. *Govaerts, B., D.F. Hendry, and J.-F. Richard (1994). "Encompassing in stationary linear dynamic models."

, 63, 245–270. *Hendry, D.F. (1995). "Econometrics and business cycle empirics."

, 105, 1622–1636. *Campos, J., N.R. Ericsson, and D.F. Hendry (1996). "Cointegration tests in the presence of structural breaks."

, 70, 187–220. *Clements, M.P. and D.F. Hendry (1996). "Intercept corrections and structural change."

Journal of Applied Econometrics The ''Journal of Applied Econometrics'' is a peer-reviewed academic journal covering econometrics, published by John Wiley & Sons. It focuses on applications rather than theoretical issues. It was established in 1986 and is published seven times p ...

, 11, 475–494. *Hendry, D.F. (1997). "The Econometrics of Macro-economic Forecasting."

, 107, 1330–1357. *Ericsson, N. R., D. F. Hendry and G. E. Mizon (1998). "Exogeneity, Cointegration, and Economic Policy Analysis." Journal of Business & Economic Statistics 16(4): 370–387. *Hendry, D.F. and Krolzig, H-M. (1999). "Improving on 'Data Mining Reconsidered' by K.D. Hoover and S.J. Perez."

Econometrics Journal ''The Econometrics Journal'' was established in 1998 by the Royal Economic Society to promote the general advancement and application of econometric methods and techniques to problems of relevance to modern economics. It aims to publish high qualit ...

, 2, 41–58.

Other publications

* Campos, J., N. R. Ericsson and D. F. Hendry (2005). General-to-Specific Modeling: An Overview and Selected Bibliography. International Finance Discussion Papers, Board of Governors of the

Federal Reserve System The Federal Reserve System (often shortened to the Federal Reserve, or simply the Fed) is the central banking system of the United States of America. It was created on December 23, 1913, with the enactment of the Federal Reserve Act, after ...

. * Campos, J., D. F. Hendry and H.-M. Krolzig (2003). "Consistent Model Selection by an Automatic by Automatic Gets Approach." Oxford Bulletin of Economics and Statistics 65(Supplement): 803–819. * Castle, J. L., J. A. Doornik and D. F. Hendry (2012). "Model Selection when there are Multiple Breaks." ournal of Econometrics169(2): 239–246. * Castle, J. L., J. A. Doornik and D. F. Hendry (2013). "Evaluating Automatic Model Selection." Journal of Time Series Econometrics 3(3): 1941–1928. * Castle, J. L., J. A. Doornik and D. F. Hendry (2013). "Model Selection in Equations with Many 'Small' Effects*." Oxford Bulletin of Economics and Statistics 75(1): 6–22. * Castle, J. L., J. A. Doornik, D. F. Hendry, et al. (2013). "Mis-Specification Testing: Non-Invariance of Expectations Models of Inflation."

Econometric Reviews ''Econometric Reviews'' is a scholarly econometrics Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships. M. Hashem Pesaran (1987). "Econometrics," '' The New P ...

: 130809194007000. * Castle, J. L. and D. F. Hendry (2013). "Model selection in under-specified equations facing breaks."

. * Chong, Y. Y. and D. F. Hendry (1986). "Econometric Evaluation of Linear Macro-Economic Models." The Review of Economic Studies 53(4): 671–690. * Clements, M. P. and D. F. Hendry (2005). "Evaluating a Model by Forecast Performance." Oxford Bulletin of Economics and Statistics 67: 931–956. * Davidson, J. E. H., D. F. Hendry, F. Srba, et al. (1978). "Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom." The

88(352): 661–692. * Doornik, J. A., D. F. Hendry and F. Pretis (2013). Step Indicator Saturation. DEPARTMENT OF ECONOMICS DISCUSSION PAPER SERIES, University of Oxford. * Robert F. Engle, D. F. Hendry and J.-F. Richard (1983). "Exogeneity." Econometrica 51(2): 277–304. * Ericsson, N. R., D. F. Hendry and G. E. Mizon (1998). "Exogeneity, Cointegration, and Economic Policy Analysis." Journal of Business & Economic Statistics 16(4): 370–387. * Ermini, L. and D. F. Hendry (2008). "Log Income vs. Linear Income: An Application of the Encompassing Principle*." Oxford Bulletin of Economics and Statistics 70: 807–827. * Florens, J.-P., D. F. Hendry and J.-F. Richard (1996). "Encompassing and Specificity."

Econometric Theory ''Econometric Theory'' is an economics journal specialising in econometrics, published by Cambridge Journals Cambridge University Press is the university press of the University of Cambridge. Granted letters patent by King Henry VIII in ...

12(4): 620–656. * Granger, C. W. J. and D. F. Hendry (2005). "A Dialogue Concerning a New Instrument for Econometric Modeling."

21: 278–297. * Hendry, D. (1993). Econometrics: Alchemy of Science?, Oxford. * Hendry, D. F. (1974). "Stochastic Specification in an Aggregate Demand Model of the United Kingdom."

42(3): 559–578. * Hendry, D. F. (1980). "Econometrics – Alchemy or Science?"

Economica ''Economica'' is a peer-reviewed academic journal of generalist economics published on behalf of the London School of Economics by Wiley-Blackwell. Established in 1921, it is currently edited by Nava Ashraf, Oriana Bandiera, Tim Besley, France ...

47(188): 387–406. * Hendry, D. F. (1991). "Using PC-NAIVE in Teaching Econometrics." Oxford Bulletin of Economics and Statistics 53(2): 199–223. * Hendry, D. F. (2000). Econometrics: Alchemy or Science?,

Oxford University Press Oxford University Press (OUP) is the university press of the University of Oxford. It is the largest university press in the world, and its printing history dates back to the 1480s. Having been officially granted the legal right to print book ...

. * Hendry, D. F. (2001). "Achievements and Challenges in Econometric Methodology."

100: 7–10. * Hendry, D. F. (2003). "J. Denis Sargan and the Origins of LSE Econometric Methodology."

19: 457–480. * Hendry, D. F. (2011). "Empirical Economic Model Discovery and Theory Evaluation." Rationality, Markets and Morals 2: 115–145. * Hendry, D. F. and M. P. Clements (2003). "Economic forecasting: some lessons from recent research."

Economic Modelling ''Economic Modelling'' is a monthly peer-reviewed academic journal on economics published by Elsevier. The editors-in-chief are Angus C. Chu (University of Macau) and Sushanta K. Mallick (Queen Mary University of London). Abstracting and indexi ...

20(2): 301–329. * Hendry, D. F. and N. R. Ericsson (1991). "An Econometric Analysis of UK Money Demand in Monetary Trends in the United States and the United Kingdom by

Milton Friedman Milton Friedman (; July 31, 1912 – November 16, 2006) was an American economist and statistician who received the 1976 Nobel Memorial Prize in Economic Sciences for his research on consumption analysis, monetary history and theory and the ...

and

Anna J. Schwartz Anna Jacobson Schwartz (pronounced ; November 11, 1915 – June 21, 2012) was an American economist who worked at the National Bureau of Economic Research in New York City and a writer for ''The New York Times''. Paul Krugman has said that Schwar ...

." The

: 8–38. * Hendry, D. F. and Søren Johansen (2011). The Properties of Model Selection when Retaining Theory Variables. CREATES Research Papers.

Aarhus University Aarhus University ( da, Aarhus Universitet, abbreviated AU) is a public research university with its main campus located in Aarhus, Denmark. It is the second largest and second oldest university in Denmark. The university is part of the Coimbra Gr ...

. * Hendry, D. F. and Søren Johansen (2013). Model Discovery and

Trygve Haavelmo Trygve Magnus Haavelmo (13 December 1911 – 28 July 1999), born in Skedsmo, Norway, was an economist whose research interests centered on econometrics. He received the Nobel Memorial Prize in Economic Sciences in 1989. Biography After atte ...

's Legacy. Working Paper. University of Oxford. * Hendry, D. F., Søren Johansen and C. Santos (2008). "Automatic Selection of Indicators in a Fully Saturated Regression."

Computational Statistics Computational statistics, or statistical computing, is the bond between statistics and computer science. It means statistical methods that are enabled by using computational methods. It is the area of computational science (or scientific computin ...

33: 317–335. * Hendry, D. F. and K. Juselius (2001). "Explaining Cointegration Part II." Energy Journal 22(1): 75–120. * Hendry, D. F. and K. Juselius (2000). "Explaining Cointegration Part I." Energy Journal 21: 1–42. * Hendry, D. F. and H.-M. Krolzig (2001). "Computer Automation of General-to-Specific Model Selection Procedures."

Journal of Economic Dynamics and Control The ''Journal of Economic Dynamics and Control ''(JEDC) is a peer-reviewed scholarly journal devoted to computational economics, dynamic economic models, and macroeconomics. It is edited at the University of Amsterdam and published by Elsevier ...

25: 831–866. * Hendry, D. F. and H.-M. Krolzig (2003). New Developments in Automatic General-to-specific Modelling. Econometrics and the Philosophy of Economics. B. P. Stigum, Princeton University Press. * Hendry, D. F. and H.-M. Krolzig (2004). "Automatic Model Selection: A New Instrument for Social Science." Electoral Studies 23(3): 525–544. * Hendry, D. F. and H.-M. Krolzig (2005). "The Properties of Automatic GETS Modelling*." The

115(502): C32-C61. * Hendry, D. F. and M. Massmann (2007). "Co-Breaking : Recent Advances and a Synopsis of the Literature." Journal of Business & Economic Statistics 25(1): 33–51. * Hendry, D. F. and G. E. Mizon (2013). Unpredictability in Economic Analysis, Econometric Modeling and Forecasting. Working Paper. Department of Economics Working Paper, Oxford University. * Hendry, D. F. and J.-F. Richard (1983). "The Econometric Analysis of Economic Time Series." International Statistical Review 51(2): 111–148. * Hendry, D. F. and F. Srba (1977). "The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems."

45(5): 969–990. * Spanos, A., D. F. Hendry and J. James Reade (2008). "Linear vs. Log-linear Unit-Root Specification: An Application of Mis-specification Encompassing*." Oxford Bulletin of Economics and Statistics 70: 829–847. Other Authors * Søren Johansen and B. Nielsen (2009). Saturation by Indicators in Regression Models. The Methodology and Practice of Econometrics: Festschrift in Honour of David F. Hendry. J. L. Castle and N. Shephard. Oxford, Oxford University Press. *

Clive Granger Sir Clive William John Granger (; 4 September 1934 – 27 May 2009) 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 t ...

(2009). In Praise of Pragmatics in Econometrics. The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry. J. L. Castle and N. Sheppard. Oxford, Oxford University Press.

References

External links

University of Oxford: David Hendry

at

IDEAS In common usage and in philosophy, ideas are the results of thought. Also in philosophy, ideas can also be mental representational images of some object. Many philosophers have considered ideas to be a fundamental ontological category of being. ...

* {{DEFAULTSORT:Hendry, David Forbes Living people British economists Econometricians Time series econometricians Neo-Keynesian economists Fellows of the Econometric Society Fellows of the British Academy Fellows of the Royal Society of Edinburgh Fellows of Nuffield College, Oxford Fellows of the American Academy of Arts and Sciences Academics of the London School of Economics Statutory Professors of the University of Oxford Knights Bachelor 1944 births Institute for New Economic Thinking