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The Methodology and Practice of Econometrics – A Festschrift in Honour of David F. Hendry - Oxford Scholarship Online
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The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Jennifer Castle and Neil Shephard


David F. Hendry is a seminal figure in modern econometrics. He has pioneered the LSE approach to econometrics, and his influence is extensive. This book is a collection of original research in time-series econometrics, both theoretical and applied, and reflects David's interests in econometric methodology. Many internationally renowned econometricians who have collaborated with Hendry or have been influenced by his research have contributed to this book, which provides a reflection on the recent advances in econometrics and considers the future progress for the methodology of econometrics. The ... More

Keywords: time-series econometrics, dynamic modelling, model selection, model evaluation, correlations, forecasting, policy analysis, exogeneity, causality, cointegration

Bibliographic Information

Print publication date: 2009 Print ISBN-13: 9780199237197
Published to Oxford Scholarship Online: September 2009 DOI:10.1093/acprof:oso/9780199237197.001.0001


Affiliations are at time of print publication.

Jennifer Castle, editor
British Academy Postdoctoral Fellow in Economics
Author Webpage

Neil Shephard, editor
Professor of Economics at Oxford University and Research Director of the University's Oxford-Man Institute
Author Webpage

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4 Autometrics*

Jurgen A. Doornik

9 Factor‐augmented Error Correction Models*

Anindya Banerjee and Massimiliano Marcellino

11 On Efficient Simulations in Dynamic Models*

Karim M. Abadir and Paolo Paruolo

14 Model Identification and Nonunique Structure*

David F. Hendry, Maozu Lu, and Grayham E. Mizon

16 US Natural Rate Dynamics Reconsidered*

Gunnar Bårdsen and Ragnar Nymoen

End Matter