The methodology and practice of econometrics : a festschrift in honour of David F. Hendry
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Abstract
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. Contributors to this volume - Soren Johansen and Bent Nielsen Kevin D. Hoover, lva Demiralp, and Stephen J. Perez The late Halbert White and Pauline Kennedy Jurgen A. Doornik Robert F. Engle Pravin K. Trivedi and David M. Zimmer James H. Stock and Mark W. Watson Michael P. Clements Anindya Banerjee and Massimiliano Marcellino The late Clive W. J. Granger Karim M. Abadir and Paolo Paruolo Juan J. Dolado, Jesus Gonzalo, and Laura Mayoral James Davidson David F. Hendry, Maozu Lu, and Grayham E. Mizon Andreas Beyer and Katarina Juselius Gunnar Bardsen and Ragnar Nymoen Neil R. Ericsson and Steven B. Kamin