Skip to main content
    • Aa
    • Aa


  • Neil R. Ericsson (a1)

Professor David F. Hendry is interviewed by Neil R. Ericsson.

Hide All
The interviewer is a staff economist in the Division of International Finance, Board of Governors of the Federal Reserve System, Washington, D.C. 20551 U.S.A., and the interviewee is an ESRC Professorial Research Fellow and the head of the Economics Department at the University of Oxford. They may be reached on the Internet at and, respectively. The views in this interview are solely the responsibility of the author and the interviewee and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System or of any other person associated with the Federal Reserve System. We are grateful to Julia Campos, Jonathan Halket, Jaime Marquez, Kristian Rogers, and especially Peter Phillips for helpful comments and discussion, and to Margaret Gray and Hayden Smith for assistance in transcription. Empirical results and graphics were obtained using PcGive Professional Version 10: see [195] and [201].
Linked references
Hide All

This list contains references from the content that can be linked to their source. For a full set of references and notes please see the PDF or HTML where available.

Anderson, T.W. (1962) The choice of the degree of a polynomial regression as a multiple decision problem. Annals of Mathematical Statistics 33, 255265.

Breusch, T.S. (1986) Hypothesis testing in unidentified models. Review of Economic Studies 53, 635651.

Chan, N.H. & C.Z. Wei (1988) Limiting distributions of least squares estimates of unstable autoregressive processes. Annals of Statistics 16, 367401.

Cooper, J.P. & C.R. Nelson (1975) The ex ante prediction performance of the St. Louis and FRB-MIT-PENN econometric models and some results on composite predictors. Journal of Money, Credit, and Banking 7, 132.

Courakis, A.S. (1978) Serial correlation and a Bank of England study of the demand for money: An exercise in measurement without theory. Economic Journal 88, 537548.

Durbin, J. (1988) Maximum likelihood estimation of the parameters of a system of simultaneous regression equations. Econometric Theory 4, 159170 (paper presented to the European Meetings of the Econometric Society, Copenhagen, 1963).

Engle, R.F. & C.W.J. Granger (1987) Co-integration and error correction: Representation, estimation, and testing. Econometrica 55, 251276.

Escribano, A. (2004) Nonlinear error correction: The case of money demand in the United Kingdom (1878–2000). Macroeconomic Dynamics 8, 76116.

Gilbert, C.L. (1986) Professor Hendry's econometric methodology. Oxford Bulletin of Economics and Statistics 48, 283307.

Granger, C.W.J. (1981) Some properties of time series data and their use in econometric model specification. Journal of Econometrics 16, 121130.

Granger, C.W.J. (1986) Developments in the study of cointegrated economic variables. Oxford Bulletin of Economics and Statistics 48, 213228.

Haavelmo, T. (1944) The probability approach in econometrics. Econometrica 12, supplement, i–viii, 1–118.

Hall, R.E. (1978) Stochastic implications of the life cycle-permanent income hypothesis: Theory and evidence. Journal of Political Economy 86, 971987.

Hoover, K.D. & S.J. Perez (1999) Data mining reconsidered: Encompassing and the general-to-specific approach to specification search. Econometrics Journal 2, 167191 (with discussion).

Johansen, S. (1988) Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 12, 231254.

Kakwani, N.C. (1967) The unbiasedness of Zellner's seemingly unrelated regression equations estimators. Journal of the American Statistical Association 62, 141142.

Koopmans, T.C. (1947) Measurement without theory. Review of Economics and Statistics (formerly the Review of Economic Statistics) 29, 161172.

Makridakis, S. & M. Hibon (2000) The M3-competition: Results, conclusions and implications. International Journal of Forecasting 16, 451476.

McCullough, B.D. (1998) Assessing the reliability of statistical software: Part I. American Statistician 52, 358366.

Mizon, G.E. (1977) Inferential procedures in nonlinear models: An application in a UK industrial cross section study of factor substitution and returns to scale. Econometrica 45, 12211242.

Mizon, G.E. & J.-F. Richard (1986) The encompassing principle and its application to testing non-nested hypotheses. Econometrica 54, 657678.

Muth, J.F. (1961) Rational expectations and the theory of price movements. Econometrica 29, 315335.

Osborn, D.R. (1988) Seasonality and habit persistence in a life cycle model of consumption. Journal of Applied Econometrics 3, 255266.

Osborn, D.R. (1991) The implications of periodically varying coefficients for seasonal time-series processes. Journal of Econometrics 48, 373384.

Pesaran, M.H. (1974) On the general problem of model selection. Review of Economic Studies 41, 153171.

Phillips, A.W. (1954) Stabilisation policy in a closed economy. Economic Journal 64, 290323.

Phillips, A.W. (1956) Some notes on the estimation of time-forms of reactions in interdependent dynamic systems. Economica 23, 99113.

Phillips, A.W. (1957) Stabilisation policy and the time-forms of lagged responses. Economic Journal 67, 265277.

Phillips, P.C.B. (1986) Understanding spurious regressions in econometrics. Journal of Econometrics 33, 311340.

Phillips, P.C.B. (1987) Time series regression with a unit root. Econometrica 55, 277301.

Phillips, P.C.B. (1996) Econometric model determination. Econometrica 64, 763812.

Richard, J.-F. (1980) Models with several regimes and changes in exogeneity. Review of Economic Studies 47, 120.

Robinson, P.M. (2003) Denis Sargan: Some perspectives. Econometric Theory 19, 481494.

Sargan, J.D. (1975) Asymptotic theory and large models. International Economic Review 16, 7591.

Sargan, J.D. (1980) Some tests of dynamic specification for a single equation. Econometrica 48, 879897.

Savin, N.E. (1980) The Bonferroni and the Scheffé multiple comparison procedures. Review of Economic Studies 47, 255273.

Silvey, S.D. (1959) The Lagrangian multiplier test. Annals of Mathematical Statistics 30, 389407.

Stock, J.H. (1987) Asymptotic properties of least squares estimators of cointegrating vectors. Econometrica 55, 10351056.

Summers, L.H. (1991) The scientific illusion in empirical macroeconomics. Scandinavian Journal of Economics 93, 129148.

Trivedi, P.K. (1970) The relation between the order-delivery lag and the rate of capacity utilization in the engineering industry in the United Kingdom, 1958–1967. Economica 37, 5467.

Vining, R. (1949) Koopmans on the choice of variables to be studied and of methods of measurement. Review of Economics and Statistics 31, 7786.

West, K.D. (1988) Asymptotic normality, when regressors have a unit root. Econometrica 56, 13971417.

Recommend this journal

Email your librarian or administrator to recommend adding this journal to your organisation's collection.

Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
  • URL: /core/journals/econometric-theory
Please enter your name
Please enter a valid email address
Who would you like to send this to? *


Altmetric attention score