This interview for Econometric Theory explores David Hendry's
research. Issues discussed include estimation and inference for
nonstationary time series; econometric methodology; strategies,
concepts, and criteria for empirical modeling; the
general-to-specific approach, as implemented in the computer
packages PcGive and PcGets; computer-automated model selection
procedures; David's textbook Dynamic Econometrics; Monte Carlo
techniques (PcNaive); evaluation of these developments in
simulation studies and in empirical investigations of consumer
expenditure, money demand, inflation, and the housing and mortgage
markets; economic forecasting and policy analysis; the history of
econometric thought; and the use of computers for live empirical
and Monte Carlo econometrics.
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