Sir David Hendry, Professor of Economics at the University of Oxford [1], was given the Celebrating Impact Lifetime Achievement Award on June 8, 2014. Professor Hendry presented his automatic model selection program (Autometrics) at our conference, Statistical Science and Philosophy of Science (June, 2010) (Site is here.) I’m posting an interesting video and related links. I invite comments on the paper Hendry published, “Empirical Economic Model Discovery and Theory Evaluation,” in our special volume of Rationality, Markets, and Morals (abstract below). [2]
One of the world’s leading economists, INET Oxford’s Prof. Sir David Hendry received a unique award from the Economic and Social Research Council (ESRC)…
Commenting on the award, Torbjørn Hægeland, Director of Research at Statistics Norway, said: ‘Professor David Hendry’s contributions have exerted a great influence on the way we do practical econometric work. In particular, the automatic models election programme, Autometrics, is used extensively to guide improved empirical modelling, especially when there are structural shifts, avoiding wasted time on incorrect formulations so our economists can focus on analysis and specification.’
You can read about the award here.
Sir David Hendry’s contribution to RMM Vol. 2, 2011: “Empirical Economic Model Discovery and Theory Evaluation:
Abstract: Economies are so high dimensional and non-constant that many features of models cannot be derived by prior reasoning, intrinsically involving empirical discovery and requiring theory evaluation. Despite important differences, discovery and evaluation in economics are similar to those of science. Fitting a pre-specified equation limits discovery, but automatic methods can formulate much more general initial models with many possible variables, long lag lengths and non-linearities, allowing for outliers, data contamination, and parameter shifts; then select congruent parsimonious-encompassing models even with more candidate variables than observations, while embedding the theory; finally rigorously evaluate selected models to ascertain their viability.
His work grows out of a unique philosophical conception of the relationship between data and theory. [3]
BOOKS
(new) Empirical Model Discovery and Theory Evaluation: Automatic Selection Methods in Econometrics (Arne Ryde Memorial Lectures)
Hendry, D.F. and B. Nielsen (2007), Econometric Modeling: A Likelihood Approach. Princeton University Press.
J. Campos, N.R. Ericsson and D.F. Hendry (2004) General to Specific Modelling. Edward Elgar. Forthcoming.
Clements, M.P. and D.F. Hendry (2002). A Companion to Economic Forecasting. Oxford: Blackwell Publishers. (ISBN 0631215697)
Hendry, D.F. and N.R. Ericsson (2001) Understanding Economic Forecasts Cambridge, Mass.: MIT Press.
Doornik, J.A. and D.F. Hendry (2001). Interactive Monte Carlo Experimentation in Econometrics Using PcNaive London: Timberlake Consultants Press.
Doornik, J.A. and D.F. Hendry (2001). GiveWin: An Interface to Empirical Modelling (2nd edition), London: Timberlake Consultants Press. (ISBN 0-9533394-3-2) (1st ed. 1996, 2nd ed. 1999)
Hendry, D.F. and J.A. Doornik (2001). Empirical Econometric Modelling Using PcGive Volumes I, II and III London: Timberlake Consultants Press. (Vol I: 2nd ed. 1999, 1st ed. 1996; version 8: 1994, version 7: 1992) (Vol II: 2nd ed. 1999, 1st ed. 1997; version 8: 1994)
D.F. Hendry and H-M. Krolzig (2001). Automatic Econometric Model Selection London: Timberlake Consultants Press.
Hendry, D.F. (2001) Econometrics: Alchemy or Science? 2nd Edition. Oxford: Oxford University Press. (ISBN 0-19-829354-2)
W. A. Barnett, D. F. Hendry, S. Hylleberg, T. Teräsvirta, D. Tjøstheim, and A. Würtz (eds) (2000). Nonlinear Econometric Modeling in Time Series. Proceedings of the Eleventh International Symposium in Economic Theory Cambridge: Cambridge University Press.
Clements, M.P. and D.F. Hendry (1999). Forecasting Non-stationary Economic Time Series. Cambridge, Mass.: MIT Press.
Clements, M.P. and D.F. Hendry (1998). Forecasting Economic Time Series. Cambridge: Cambridge University Press. (ISBN 0-521-634806)
Hendry, D.F. and M.S. Morgan (1995). The Foundations of Econometric Analysis. Cambridge: Cambridge University Press. (ISBN 0-521-38043-X)
Some general comments by Clark Glymour, in relation to Hendry’s paper,are below:
[1] Professor Hendry is Director of the Programme in Economic Modelling at the Institute for New Economic Thinking at the Oxford Martin School.
[2] Hendry, D. (2011) “Empirical Economic Model Discovery and Theory Evaluation”, in Rationality, Markets and Morals, Volume 2, Special Topic: Statistical Science and Philosophy of Science, (D. G. Mayo, A. Spanos & K. W. Staley (guest eds.)): 115-145.
[3] Hendry was Aris Spanos’ dissertation advisor at the LSE; their work has interconnected over the years.
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