Oxford Connections
David spent the first decade and a half of his professional career in London at LSE—first as a student in the MSc and PhD programmes, then as a Lecturer and Professor. In January 1982, he moved to Nuffield College, Oxford.
He has been at Nuffield ever since. Nuffield College itself is a college of only graduate students in the social sciences and, as such, attracted remarkable students and colleagues, many becoming co-authors on David's research projects.The move to Oxford appealed to David for many reasons. Oxford provided a good research environment with many excellent economists, it had bright students, and it was a lovely place to live. David and Evelyn's daughter Vivien was about to start school, and Oxford schools were preferable to those in Central London. Amartya Sen, Terence Gorman, and John Muellbauer had all recently moved to Oxford; Jim Mirrlees was already there. Steve Nickell and David Cox were soon to arrive.
In Oxford, David was initially also the Acting Director of the Institute of Economics and Statistics. The Institute transmogrified into the University's Department of Economics in 1999, which David later chaired. In 2007, the Department was the focus for David's Festschrift, published as Castle and Shephard (2009).
When David arrived in Oxford, the University had no economics department, and no undergraduate economics degree either. Economics was collegebased rather than university-based, it lacked a building, and it had little secretarial support. PPE—short for Philosophy, Politics, and Economics— was the major vehicle through which Oxford undergraduates learnt economics. With the creation of a department of economics, the University moved to a more integrated teaching programme at both the graduate and the undergraduate levels. Even so, the University still has no undergraduate programme strictly in economics: only PPE and E&M (Economics and Management).
The Institute of Economics and Statistics also housed the Oxford Bulletin of Economics and Statistics, which David began editing. He saw that a shift in focus would benefit the journal, and this was helped by commissioning two timely special issues on cointegration that attracted the profession's attention—Hendry (1986a) and Banerjee and Hendry (1992a); see Section 2.2. Some people then nicknamed the journal the Oxford Bulletin of Cointegration, reflecting the pivotal and highly cited articles on cointegration that it published.
Research funding proved critical to David's activities in Oxford. Although many of his research grant applications for forecasting were rejected, he was awarded two personal Research Fellowships: one from the Leverhulme Trust for five years, and one from the Economic and Social Research Council for three years. These Fellowships bought out some of his teaching responsibilities, enabling him to develop the general theory of forecasting. Additionally, James Martin and George Soros generously funded his programme Economic Modelling (EMoD)—James Martin through the Oxford Martin School, and George Soros through the Open Society Foundations and the Institute for New Economic Thinking (INET). The initial five-year grant for EMoD supported Oxford economics faculty and post-doctoral research fellows in analysing difficulties that empirical modelling, economic analysis, policy, and forecasting confront with rapid unanticipated changes. INET extended David's EMoD grant for three more years jointly with John Muellbauer, and the Robertson Foundation awarded a grant for David and Felix Pretis's programme Climate Econometrics.
Research topics at EMoD and Climate Econometrics are manifold. They include analysing the mathematical and statistical bases for expectations formation and inter-temporal optimisation when economic agents face unanticipated breaks, and developing methods of empirical model discovery that can handle multiple intermittent shifts. EMoD also investigated inequality in wealth and income, established a web-based database of civilisation’s progress (www.ourworldindata.org), modelled immigration into Norway, and formulated alternative macro-models with financial channels. At Climate Econometrics, saturation methods for detecting breaks are isolating the effects of volcanic eruptions on temperature, detecting policy-driven shifts in CO2 emissions, and helping to model increases in sea level. The overriding theme is to develop approaches appropriate to a world undergoing rapid unanticipated changes, and to improve forecasting methods in such a setting.
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