Introduction

David Hendry has made—and continues to make—pivotal contributions to the econometrics of empirical economic modelling, economic forecasting, econometrics software, substantive empirical economic model design, and economic policy.

David Forbes Hendry was born of Scottish parents on 6 March 1944 in Nottingham, England, where his parents were temporarily relocated for the war effort. After an unpromising start in Glasgow schools, David obtained an

The author is a staff economist in the Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551, USA, a Research Professor of Economics, Department of Economics, The George Washington University, Washington, D.C. 20052, USA, and an Adjunct Professor at the Paul H. Nitze School of Advanced International Studies (SAIS), Johns Hopkins University, Washington, D.C. 20036, USA. The views in this chapter are solely the responsibility of the author and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System or of any other person associated with the Federal Reserve System. The author is grateful to Cambridge University Press and Elsevier for permission to draw on material in Ericsson (2004, 2017), and to Jennifer Castle, Mike Clements, Robert Cord, David Hendry, Fred Joutz, Jaime Marquez, Andrew Martinez, and Tara Sinclair for helpful comments and suggestions.

N. R. Ericsson (*)

Federal Reserve Board, Washington, D.C., USA e-mail: ericsson@frb.gov

© The Author(s), under exclusive license to Springer Nature Switzerland AG 2021 563

R. A. Cord (ed.), The Palgrave Companion to Oxford Economics, https://doi.org/10.1007/978-3-030-58471-9_24

MA in Economics with First Class Honours from the University of Aberdeen in 1966.

In 1982, David moved to the University of Oxford as a Professor of Economics and a Fellow of Nuffield College. At Oxford, he has also been Acting Director for the Institute of Economics and Statistics (1982-1984), Leverhulme Personal Research Professor of Economics (1995-2000), ESRC Professorial Research Fellow (2003-2006), and Chair of the Department of Economics (2001-2007). He is currently the Director of the programme Economic Modelling (EMoD; Institute for New Economic Thinking at the Oxford Martin School, 2010-) and the Co-Director of the programme Climate Econometrics (2015-). He also helped design the University’s Resource Allocation Model.

Much of David’s research has focused on constructing a unified method­ological approach to empirical modelling of economic time series. His 1995 book, Dynamic Econometrics, is a milestone on that path. General-to-specific modelling is an important aspect of this empirical methodology, which has become commonly known as the “LSE” or “Hendry” approach. David is widely recognised 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 economet­rics software packages that embed the methodology (notably, PcGive and OxMetrics) 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. They include deriving and analysing methods of estimation and inference for non-stationary time series; develop­ing Monte Carlo methods for investigating small-sample properties of econo­metric techniques; exploring alternative modelling strategies and empirical methodologies; analysing concepts and criteria for viable empirical modelling of time series; developing software for econometric analysis, culminating in model selection procedures utilising machine learning; evaluating these devel­opments in simulation studies and in empirical investigations of consumer expenditure, money demand, inflation, and the housing and mortgage mar­kets; and reassessing the history of econometric thought.

Over the last three decades, and in tandem with many of his developments in model design, David has reassessed the empirical and theoretical literature on forecasting, leading to new paradigms for generating and interpreting eco­nomic forecasts. He developed a taxonomy of forecast errors and a theory of unpredictability that have yielded valuable insights into the nature of forecast­ing. He has also provided new perspectives on many existing forecasting tech­niques, including mean square forecast errors, add factors, leading indicators, pooling of forecasts, and multi-step estimation. In addition, David has devel­oped new forecast tools, such as forecast encompassing, and he has improved existing ones, such as nowcasting and robustification to breaks.

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 40 PhD theses, with numerous professional collaborations with his former doctoral students and other colleagues.

David has held many prominent appointments in professional bodies.

The remainder of this chapter focuses on key contributions by David: the econometrics of empirical economic modelling (Section 2), econometrics software (Section 3), forecasting (Section 4), empirical analysis (Section 5), and Oxford connections (Section 6).

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