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Professor Hendry investigates the theory and practice of econometric modelling and forecasting in a non-stationary and evolving world, where the model differs from the economy.
When the processes being modelled are not time invariant, many of the famous theorems of both macroeconomic analysis and forecasting no longer hold. Conditional expectations cease to be unbiased predictors, and the mathematical basis of inter-temporal derivations fails, making dynamic stochastic general equilibrium (DSGE) models inherently non-constant and non-structural—failing when they are most needed.
When the processes being modelled are not time invariant, many of the famous theorems of both macroeconomic analysis and forecasting no longer hold. Conditional expectations cease to be unbiased predictors, and the mathematical basis of inter-temporal derivations fails, making dynamic stochastic general equilibrium (DSGE) models inherently non-constant and non-structural—failing when they are most needed.
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OXFORD BULLETIN OF ECONOMICS AND STATISTICSno. 1 (2024): 1-20
International Journal of Forecastingno. 2 (2023): 754-771
SSRN Electronic Journal (2023): 106947-106947
Susana Campos-Martins,David F. Hendry
Journal of Econometricspp.105472-105472, (2023)
International Journal of Forecasting (2023)
SSRN Electronic Journal (2022)
History of Political Economy (2022)
The Palgrave Companion to Oxford Economicspp.3-28, (2021)
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