Software Developments
Research in econometric computing took a new direction with the development of automated software for model selection and detection of outliers and step shifts. Inspired by Hoover and Perez (1999), Hendry and Krolzig (1999, 2005) developed the PcGets software, later replaced by Autometrics by Doornik (2008) and accompanied by Gets in R by Pretis et al.
(2018a). An asymptotic theory for outlier detection was initiated by Hendry et al. (2008) and Johansen and Nielsen (2009). The model selection project continues and involves a number of other researchers, students, post-docs and faculty, including Berenguer-Rico, Castle, Jiao and Qian.Several new teaching courses were introduced, including Quantitative Economics in 2009 and Environmental Economics and Climate Change for PPE, and, as mentioned above, an MSc in Financial Economics with a financial econometrics core course. Research funding matched the change in emphasis to Economic Forecasting, Modelling, Forecasting and Policy in the Evolving Macroeconomy, Economic Modelling in a Rapidly Changing World, Rebalancing Theory and Evidence in Macroeconomics, Automatic Tests ofModel Specification, Extending the Boundaries of Econometric Modelling, Our World in Data, New Approaches to the Identification of Macroeconomic Models and Climate Econometrics.
5.2