Biblical Teaching of the Holy Spirit as a Person

 One of the names of the Holy Spirit is Counselor:
"And I will pray the Father, and he shall give you another Comforter, that he may abide with you for ever;" (John 14:16)

His Personality:
He is the third person of the Godhead, the Trinity:
"And Jesus, when he was baptized, went up straightway out of the water: and, lo, the heavens were opened unto him, and he saw the Spirit of God descending like a dove, and lighting upon him: And lo a voice from heaven, saying, This is my beloved Son, in whom I am well pleased. (Matthew 3:16,17)
"And I will pray the Father, and he shall give you another Comforter, that he may abide with you for ever;" (John 14:16)
"How God anointed Jesus of Nazareth with the Holy Ghost and with power: who went about doing good, and healing all that were oppressed of the devil; for God was with him." (Acts 10:38)

He has knowledge:
:And the spirit of the LORD shall rest upon him, the spirit of wisdom and understanding, the spirit of counsel and might, the spirit of knowledge and of the fear of the LORD;" (Isaiah 11:2)
"And he that searcheth the hearts knoweth what [is] the mind of the Spirit, because he maketh intercession for the saints according to [the will of] God." (Romans 8:27)
"But God hath revealed [them] unto us by his Spirit: for the Spirit searcheth all things, yea, the deep things of God. For what man knoweth the things of a man, save the spirit of man which is in him? even so the things of God knoweth no man, but the Spirit of God. (1 Corinthians 2:10-11)

He has feeling:
"But they rebelled, and vexed his holy Spirit: therefore he was turned to be their enemy, [and] he fought against them." (Isaiah 63:10)
"And grieve not the holy Spirit of God, whereby ye are sealed unto the day of redemption." (Ephesians 4:30)

He has will: "But all these worketh that one and the selfsame Spirit, dividing to every man severally as he will." (1 Corinthians 12:11)

He was active in creation: "And the earth was without form, and void; and darkness [was] upon the face of the deep. And the Spirit of God moved upon the face of the waters." (Genesis 1:2)
He inspired the Bible writers: "For the prophecy came not in old time by the will of man: but holy men of God spake [as they were] moved by the Holy Ghost." (2 Peter 1:21)

He empowered the conception of Christ: "And the angel answered and said unto her, The Holy Ghost shall come upon thee, and the power of the Highest shall overshadow thee: therefore also that holy thing which shall be born of thee shall be called the Son of God." (Luke 1:35)

He convicts of sin: "And when he is come, he will reprove the world of sin, and of righteousness, and of judgment:" (John 16:8)

He regenerates: "Jesus answered, Verily, verily, I say unto thee, Except a man be born of water and [of] the Spirit, he cannot enter into the kingdom of God. That which is born of the flesh is flesh; and that which is born of the Spirit is spirit. (John 3:5-6)

He brings assurance of salvation: "For ye have not received the spirit of bondage again to fear; but ye have received the Spirit of adoption, whereby we cry, Abba, Father." (Romans 8:15)

He teaches or enlightens: "I have yet many things to say unto you, but ye cannot bear them now. Howbeit when he, the Spirit of truth, is come, he will guide you into all truth: for he shall not speak of himself; but whatsoever he shall hear, [that] shall he speak: and he will shew you things to come. He shall glorify me: for he shall receive of mine, and shall shew [it] unto you. (John 16:12-14)

He aids in prayer of intercession: "Likewise the Spirit also helpeth our infirmities: for we know not what we should pray for as we ought: but the Spirit itself maketh intercession for us with groanings which cannot be uttered. And he that searcheth the hearts knoweth what [is] the mind of the Spirit, because he maketh intercession for the saints according to [the will of] God. (Romans 8:26-27)

He resurrected Christ: (Rom. 8:11, 1 Peter 3:18)

He calls to service: (Acts 13:4).

He seals the elect's salvation: (Rom 8:23).

He indwells the believer: (Rom. 8:9).

He works in the church: (1Cor 12:7-11).

He distributes gifts. (Corinthians 12)

He has many titles. The Work of the Holy Spirit in Salvation: Regeneration, Indwelling, baptizing, sealing, filling, guiding, empowering and teaching.

To answer your question: if we should pray to the Holy Spirit? No, He enables us to communicate with the Father. He knows what we need and prays for us.

"Likewise the Spirit also helpeth our infirmities: for we know not what we should pray for as we ought: but the Spirit itself maketh intercession for us with groanings which cannot be uttered." (Romans 8:26)

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