Economic forecasting in theory and practice: An interview with David F. Hendry

Citation data:

Elsevier, International Journal of Forecasting, ISSN: 0169-2070, Vol: 33, Issue: 2, Page: 523-542

Publication Year:
2017
Usage 490
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Clicks 90
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Researchers:
Emanuel Moench
DOI:
10.1016/j.ijforecast.2016; 10.1016/j.ijforecast.2016.10.001; 10.1016/j.ijforecast.2016.02.007; 10.1016/j.ijforecast.2017.01.001; 10.1016/j.ijforecast.2016.09.001
RePec URLs:
https://ideas.repec.org/a/eee/intfor/v33y2017i2p523-542.html; https://ideas.repec.org/a/eee/intfor/v33y2017i2p563-568.html; https://ideas.repec.org/a/eee/intfor/v32y2016i4p1138-1150.html; https://ideas.repec.org/a/eee/intfor/v33y2017i2p543-559.html
Author(s):
Liu, Weiling; Moench, Emanuel
Publisher(s):
Elsevier BV
Tags:
Business, Management and Accounting; Recession predictability; ROC; Term spread; Leading indicators;; Autometrics; Bias; Debt; Federal government; Forecasts; Impulse indicator saturation; Projections; United States;; Bias; Debt; Federal government; Forecasts; Impulse indicator saturation; Heteroscedasticity; United States;; Encompassing; Equilibrium correction models; Error correction; Evaluation; Exogeneity; Forecasting; Modeling; Nowcasting; Parameter constancy; Robustification; Structural breaks;
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article description
David Hendry has made major contributions to many areas of economic forecasting. He has developed a taxonomy of forecast errors and a theory of unpredictability that have yielded valuable insights into the nature of forecasting. He has also provided new perspectives on many existing forecast techniques, including mean square forecast errors, add factors, leading indicators, pooling of forecasts, and multi-step estimation. In addition, David has developed new forecast tools, such as forecast encompassing; and he has improved existing ones, such as nowcasting and robustification to breaks. This interview for the International Journal of Forecasting explores David Hendry’s research on forecasting.