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

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

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Emanuel Moench
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
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Liu, Weiling; Moench, Emanuel
Elsevier BV
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.