Nuffield College
Somewhat earlier, Nuffield College had been founded in 1937 as a graduate college of the University specialising in the social sciences, particularly economics, politics (especially psephology) and sociology.
Nuffield had close ties with IES, many of whose members were fellows of the College. Before the creation of an Economics Department, Nuffield acted in lieu of a department as it had the largest number of economics faculty, with many of the main graduate lecture courses taught in the College. Statisticians and econometricians have also often served as its Warden, including Sir David Cox, 1988-1994, Sir Tony Atkinson, 1994-2005 (see Jenkins 2017 for more details), Sir Stephen Nickell, 2006-2012, and Sir Andrew Dilnot since then. Other statisticians who were fellows have included Klim McPherson, Clive Payne, Lucy Carpenter, David Firth, Garett Fitzmaurice and Tom Snijders; and its econometricians included Terence Gorman (see Chapter 21 in this volume by Neary and Honohan), John Muellbauer (see Chapter 26 by Duca), Hendry (see Chapter 24 by Ericsson) and Bent Nielsen (see, for example, Harbo et al. 1998 and Johansen and Nielsen 2009) in addition to those mentioned elsewhere. Nielsen has collaborated with many other Oxford faculty (see, for instance, Hendry and Nielsen 2007 and Vanessa Berenguer-Rico and Nielsen 2020) and contributed to a wide range of econometric theory developments as well as to teaching.Neil Ericsson joined Nuffield from LSE in 1982 as a Research Officer on an ESRC award with Hendry, starting another long collaboration from Hendry and Ericsson (1983), eventually published in 1991 as Hendry and Ericsson (1991). Adrian Neale followed in 1986, helping develop a menu- driven program for Monte Carlo simulation experiments (see Hendry and Neale 1987). Olympia Bover was a Research Officer, 1985-1987, then Research Fellow, 1987-1989, at Nuffield and Manuel Arellano was also a Research Fellow at Nuffield, 1986-1989, and Research Lecturer at IES, 1985-1989.
Together with Steve Bond, Fellow at Nuffield since 1990 and previously a student there from 1984, he published the much-cited Arellano and Bond (1991) paper. This provided an estimation method for dynamic panels where the time-series dimension was relatively short. Gavin Cameron came in 1992 and mainly published with Muellbauer (see Cameron and Muellbauer 1998). Hans-Martin Krolzig joined as a Research Officer at IES and an Associate at Nuffield for a decade from 1995 and published extensively on Markov-switching and business-cycle modelling (see Krolzig 1997) as well as on econometric modelling with Hendry (see, for example, Hendry and Krolzig 1999). Stan Hurn, 1996-1998, and Katy Graddy also researched econometrics.Two other long collaborations for Hendry that began in IES were with Mike Clements and Jurgen Doornik. That with Clements started with his doctorate, leading to a paper by Clements and Hendry (1993) (where the discussion was longer than the paper!), and numerous publications since, including Clements and Hendry (1998), as well as his participating in many of the ESRC research programmes at Nuffield (see ibid.). That with Doornik began in 1989, initially as a Research Officer on ESRC research programmes and then a Research Fellow at Nuffield College from 1996 on, developing Ox, an object-oriented matrix language (see https://doornik.com/ox/, leading to Doornik and Hendry 1992, applied in Hendry and Doornik 1994; also see the much-used test in Doornik and Hansen 2008).
Neil Shephard was a Fellow of Nuffield over 1991-2013 and Professor of Economics, 1999-2013, actively researching financial econometrics (see, for example, Ole Barndorff-Nielsen and Shephard 2001, 2002, 2004a, b, 2006, for which he received the Royal Statistical Society’s Guy Medal in Silver). He contributed importantly to econometric modelling of realised volatility, and developed stochastic volatility models, as well as methods for handling jumps in financial time series in research linked to similar advances for modelling breaks in macroeconomic data.
Shephard also formulated methods for nonGaussian and non-linear models, and with Michael Pitt, developed filtering by simulation using auxiliary particle filters (see Pitt and Shephard 1999). While at Nuffield, he was awarded a number of ESRC grants where Tina Rydberg (see, for instance, Rydberg and Shephard 2003) and Frank Gerhard (see Gerhard and Hautsch 2002) were Research Officers. He co-founded the Econometrics Journal with David Hendry and his later research is discussed in Section 5.Richard Spady was an Official Fellow of Nuffield over 1992-1999, and a regular visitor since then, researching non- and semi-parametric methods. Oliver Linton, a Research Fellow there from 1991 to 1993, also researched non-parametric methods. Bronwyn Hall, Professor of Economics and Professorial Fellow, Nuffield College, 1996-2001, brought a strong interest in econometric computing, and her Time Series Processor (TSP) software was linked into OxMetrics.
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