‘The three golden rules of econometrics are test, test, and test; that all three rules are broken regularly in empirical applications is fortunately easily remedied' (Hendry 1980: 403).
This quote from David's 1979 Inaugural Lecture at LSE is a common thread throughout his writings. He has authored or coauthored three books that are milestones in his contributions to the development of the econometrics for empirical economic modelling: Dynamic Econometrics (Hendry 1995), Co-integration, Error Correction, and the Econometric Analysis of Non-stationary Data (Banerjee, Dolado, Galbraith and Hendry 1993), and Empirical Model Discovery and Theory Evaluation (Hendry and Doornik 2014). The titles to these books aptly serve as the titles to the subsections herein.
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