The Methodology and Practice of Econometrics

Abstract

David F. Hendry is a seminal figure in modern econometrics. He has pioneered the LSE approach to econometrics, and his influence is extensive. This book is a collection of original research in time-series econometrics, both theoretical and applied, and reflects David's interests in econometric methodology. Many internationally renowned econometricians who have collaborated with Hendry or have been influenced by his research have contributed to this book, which provides a reflection on the recent advances in econometrics and considers the future progress for the methodology of econometrics. The book is broadly divided into five sections, including model selection, correlations, forecasting, methodology, and empirical applications, although the boundaries are certainly opaque. 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 contributions cover the full breadth of time series econometrics but all with the overarching theme of congruent econometric modelling using the coherent and comprehensive methodology that David has pioneered. The book assimilates scholarly work at the frontier of academic research, encapsulating the current thinking in modern day econometrics and reflecting the intellectual impact that David has had, and will continue to have, on the profession.