I. Roots and Route Maps 1: Econometrics -- Alchemy or Science? 2: Stochastic Specification in an Aggregate Demand Model of the United Kingdom 3: Testing Dynamic Specification in Small Simultaneous Systems: an Application to a Model of Building Society Behaviour in the United Kingdom 4: Dynamic Specification II. The Development of Empirical Modelling Strategies 5: On the Time-Series Approach 6: Serial Correlation as a Convenient Simplification, not a Nuisance: a Comment on a Study of the Demand for Money by the Bank of England 7: An Empirical Application and Monte Carlo Analysis of the Tests of Dynamic Specification 8: Econometric Modelling of the Aggregate Tme-Series Relationship between Consumers' Expenditure and Income in the United Kingdom 9: Liquidity and Inflation Effects on Consumers' Expenditure 10: Interpreting Econometric Evidence: The Behaviour of Consumers' Expenditure in the United Kingdom 11: Predictive Failure and Econometric Modelling in Macroeconomics: the Transactions Demand for Money 12: Monetary Economic Myth and Econometric Reality III. Formalization 13: The Structure of Simultaneous Equations Estimators 14: AUTOREG: a Computer Program Library for Dynamic Econometric Models with Autoregressive Errors 15: Exogenity 16: On the Formulation of Empirical Models in Dynamic Econometrics 17: The Econometric Analysis of Economic Time Series IV. Retrospect and Prospect 18: Econometric Modelling: the 'Consumption Function' in Retrospect 19: Postscript: the Econometrics of PC-GIVE 20: Epilogue: the Success of General-to-Specific Model Selection
David F. Hendry is Leverhulme Personal Research Professor of Economics and Fellow of Nuffield College, Oxford. He was previously Professor of Econometrics at both the London School of Economics and the University of California at San Diego.
Eighteen previously published papers of methodology, from the period 1974 to 1985, provide an overview of the development of the field and are integrated by commentary on the motivations, personalities, and ideas central to this development. * Journal of Economic Literature, September 2001 *