David F. Hendry
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View article: A Novel Approach to Forecasting After Large Forecast Errors
A Novel Approach to Forecasting After Large Forecast Errors Open
A sequence of increasingly large same‐sign 1‐step‐ahead forecast errors are most likely due to a sudden unexpected shift. Large forecast errors can be expensive, but also contain valuable information. Impulse indicators acting as intercept…
View article: Looking Back to 1991 Economic Forecasting: Introducing Cointegration
Looking Back to 1991 Economic Forecasting: Introducing Cointegration Open
Originally written in 1991 to advance the formal analysis of macroeconomic forecasting models and methods following the development of cointegration, alternative forecasting devices, conditional and unconditional forecasts, and data accura…
View article: Forecasting the UK top 1% income share in a shifting world
Forecasting the UK top 1% income share in a shifting world Open
UK top income shares have varied hugely over the past two centuries, ranging from more than 30% to less than 7% of pre‐tax national income allocated to the top 1 percentile. We build a congruent dynamic linear regression model of the top 1…
View article: What a Puzzle! Unravelling Why UK Phillips Curves were Unstable
What a Puzzle! Unravelling Why UK Phillips Curves were Unstable Open
The UK relationship between nominal wage inflation and the unemployment rate is unstable. Over sub‐periods of the last 160 years of turbulent data, Phillips curve slopes range from strongly negative, slightly negative, flat, slightly posit…
View article: Five sensitive intervention points to achieve climate neutrality by 2050, illustrated by the UK
Five sensitive intervention points to achieve climate neutrality by 2050, illustrated by the UK Open
To achieve net-zero greenhouse gas (GHG) emissions requires a transition from fossil fuel use to renewables, and eliminating GHG emissions from agriculture, construction and waste. Five sensitive intervention points (SIPs) could help chang…
View article: A Brief History of General‐to‐specific Modelling*
A Brief History of General‐to‐specific Modelling* Open
We review key stages in the development of general‐to‐specific modelling ( Gets ). Selecting a simplified model from a more general specification was initially implemented manually, then through computer programs to its present automated m…
View article: Improving models and forecasts after equilibrium-mean shifts
Improving models and forecasts after equilibrium-mean shifts Open
Equilibrium-mean shifts can result from changes in intercepts with constant dynamics, or be induced by shifts in dynamics with non-zero data means, or both. Induced shifts distort parameter estimates and create a discrepancy between the fo…
View article: The historical role of energy in UK inflation and productivity with implications for price inflation
The historical role of energy in UK inflation and productivity with implications for price inflation Open
We model UK price and wage inflation, productivity and unemployment over a century and a half of data, selecting dynamics, relevant variables, non-linearities and location and trend shifts using indicator saturation estimation. The four co…
View article: Cost-Effectiveness of Robot-Assisted Radical Cystectomy vs Open Radical Cystectomy for Patients With Bladder Cancer
Cost-Effectiveness of Robot-Assisted Radical Cystectomy vs Open Radical Cystectomy for Patients With Bladder Cancer Open
Importance The value to payers of robot-assisted radical cystectomy with intracorporeal urinary diversion (iRARC) when compared with open radical cystectomy (ORC) for patients with bladder cancer is unclear. Objectives To compare the cost-…
View article: Common volatility shocks driven by the global carbon transition
Common volatility shocks driven by the global carbon transition Open
We propose a novel approach to measure the global effects of climate change news on financial markets. For that purpose, we first calculate the global common volatility of the oil and gas industry. Then we project it on climate-related sho…
View article: CAN THE UK ACHIEVE NET ZERO GREENHOUSE GAS EMISSIONS BY 2050?
CAN THE UK ACHIEVE NET ZERO GREENHOUSE GAS EMISSIONS BY 2050? Open
Net zero greenhouse gas emissions by 2050, the UK’s current target, requires bridging a dramatic energy transition and eliminating all other net sources of emissions while ensuring a just transition. Key components like renewable electrici…
View article: Effect of Robot-Assisted Radical Cystectomy With Intracorporeal Urinary Diversion vs Open Radical Cystectomy on 90-Day Morbidity and Mortality Among Patients With Bladder Cancer
Effect of Robot-Assisted Radical Cystectomy With Intracorporeal Urinary Diversion vs Open Radical Cystectomy on 90-Day Morbidity and Mortality Among Patients With Bladder Cancer Open
ISRCTN Identifier: ISRCTN13680280; ClinicalTrials.gov Identifier: NCT03049410.
View article: Analysing differences between scenarios
Analysing differences between scenarios Open
Comparisons between alternative scenarios are used in many disciplines, from macroeconomics through epidemiology to climate science, to help with planning future responses. Differences between scenario paths are often interpreted as signif…
View article: Smooth Robust Multi-Horizon Forecasts
Smooth Robust Multi-Horizon Forecasts Open
We investigate whether smooth robust methods for forecasting can help mitigate pronounced and persistent failure across multiple forecast horizons. We demonstrate that naive predictors are interpretable as local estimators of the long-run …
View article: Forecasting: theory and practice
Forecasting: theory and practice Open
Forecasting has always been at the forefront of decision making and planning. The uncertainty that surrounds the future is both exciting and challenging, with individuals and organisations seeking to minimise risks and maximise utilities. …
View article: Forecasting Facing Economic Shifts, Climate Change and Evolving Pandemics
Forecasting Facing Economic Shifts, Climate Change and Evolving Pandemics Open
By its emissions of greenhouse gases, economic activity is the source of climate change which affects pandemics that in turn can impact badly on economies. Across the three highly interacting disciplines in our title, time-series observati…
View article: Issue information
Issue information Open
to the coronavirus *
View article: Modeling and forecasting the COVID‐19 pandemic time‐series data
Modeling and forecasting the COVID‐19 pandemic time‐series data Open
Objective We analyze the number of recorded cases and deaths of COVID‐19 in many parts of the world, with the aim to understand the complexities of the data, and produce regular forecasts. Methods The SARS‐CoV‐2 virus that causes COVID‐19 …
View article: Selecting a Model for Forecasting
Selecting a Model for Forecasting Open
We investigate forecasting in models that condition on variables for which future values are unknown. We consider the role of the significance level because it guides the binary decisions whether to include or exclude variables. The analys…
View article: Selecting a Model for Forecasting
Selecting a Model for Forecasting Open
We investigate forecasting in models that condition on variables for which future values are unknown. We consider the role of the significance level because it guides the binary decisions whether to include or exclude variables. The analys…
View article: Robust Discovery of Regression Models
Robust Discovery of Regression Models Open
Successful modeling of observational data requires jointly discovering the determinants of the underlying process and the observations from which it can be reliably estimated, given the near impossibility of pre-specifying both. To do so r…