A Festschrift in Honour of David F. Hendry
Building upon, and celebrating the work of David Hendry, this volume consists of a number of specially commissioned pieces from some of the leading econometricians in the world. It reflects on the recent advances in econometrics and considers the future progress for the methodology of econometrics.
David F. Hendry is a seminal figure in modern econometrics. He has pioneered the LSE approach to econometrics, and his influence is wide ranging. This book is a collection of papers dedicated to him and his work. Many internationally renowned econometricians who have collaborated with Hendry or have been influenced by his research have contributed to this volume, which provides a reflection on the recent advances in econometrics and considers the future progress for the methodology of econometrics. Central themes of the book include dynamic modelling and the properties of time series data, model selection and model evaluation, forecasting, policy analysis, exogeneity and causality, and encompassing. The book strikes a balance between econometric theory and empirical work, and demonstrates the influence that Hendry's research has had on the direction of modern econometrics.; Contributors include: Karim Abadir, Anindya Banerjee, Gunnar Bardsen, Andreas Beyer, Mike Clements, James Davidson, Juan Dolado, Jurgen Doornik, Robert Engle, Neil Ericsson, Jesus Gonzalo, Clive Granger, David Hendry, Kevin Hoover, Soren Johansen, Katarina Juselius, Steven Kamin, Pauline Kennedy, Maozu Lu, Massimiliano Marcellino, Laura Mayoral, Grayham Mizon, Bent Nielsen, Ragnor Nymoen, Jim Stock, Pravin Trivedi, Paolo Paruolo, Mark Watson, Hal White, and David Zimmer.
1. An analysis of the indicator saturation estimator as a robust regression estimator; 2. Empirical Identification of the Vector Autoregression: The Causes and Effects of U.S. M2; 3. Retrospective Estimation of Causal Effects Through Time; 4. Autometrics; 5. High Dimenson Dynamic Correlations; 6. Pitfalls in Modeling Dependence Structures: Explorations with Copulas; 7. Forecasting in Dynamic Factor Models Subject to Structural Instability; 8. Internal consistency of survey respondents forecasts: Evidence based on the Survey of Professional Forecasters; 9. Factor-augmented Error Correction Models; 10. In Praise Of Pragmatic In Econometrics; 11. On Efficient Simulations In Dynamic Models; 12. Simple Wald Tests of the Fractional Integration Parameter: An Overview of New Results; 13. When is a Time Series I(0)?; 14. Model Identification and Non-unique Structure; 15. Does it matter how to measure aggregates? The case of monetary transmission mechanisms in the Euro area; 16. U.S. natural rate dynamics reconsidered; 17. Constructive Data Mining: Modeling Argentine Broad Money Demand