Welcome to my professional home page! It is intended to be readable using almost any reasonably modern Web browser on any operating system, so please let me know if you encounter problems.

My e-mail address is jgm [AT] econ.queensu.ca

I have been at Queen's since 1975, where I am at present the Sir Edward Peacock Professor of Econometrics. I am the Software Review Editor of the Journal of Applied Econometrics, and I maintain the JAE Data Archive. If you are interested in writing software reviews for the JAE, please get in touch with me. I am always looking for software to review and people to review it.

From June, 2001 until June, 2002, I was the President of the Canadian Economics Association. I gave the Presidential Address at the University of Calgary on June 1, 2002. As President-Elect, I organized the 2001 Annual Meeting of the CEA, which was held at McGill University in Montreal from May 31 to June 3, 2001.

Morten Nielsen and I organized the twenty-ninth meeting of the Canadian Econometric Study Group on October 26-28, 2012. This was the third meeting to be held at Queen's. I also organized the fourteenth meeting of the CESG, which was held in Kingston on September 26-28, 1997. Charles Beach and I organized the very first CESG meeting in 1984.

My curriculum vitae is available as a PDF file.

My profile on RePEc contains links to many of my papers, including older papers not linked to on this page.

My Google Scholar profile contains a much more complete list of papers and citations.

My publications in recent years include:

• James G. MacKinnon, "Approximate asymptotic distribution functions for unit-root and cointegration tests," Journal of Business and Economic Statistics, 12, 1994, 167-176. Get the working paper version. Get the published version. (Get the program for computing P values.)

• James G. MacKinnon, "Numerical distribution functions for unit root and cointegration tests," Journal of Applied Econometrics, 11, 1996, 601-618. Get the working paper version. Get the published version. Get the programs and files of response surface coefficients for this paper.

• Russell Davidson and James G. MacKinnon, "Graphical methods for investigating the size and power of test statistics," The Manchester School, 66, 1998, 1-26. Get the working paper version. Get the published version.

• James G. MacKinnon and Anthony A. Smith, Jr., "Approximate bias correction in econometrics," Journal of Econometrics, 85, 1998, 205-230. Get the working paper version. Get the published version.

• Russell Davidson and James G. MacKinnon, "Bootstrap testing in nonlinear models," International Economic Review, 40, 1999, 487-508. Go to the RePEc page for the working paper version. Go to the RePEc page for the published version. Some of the Fortran routines used in the simulation experiments may be obtained by clicking here.

• Russell Davidson and James G. MacKinnon, "The size distortion of bootstrap tests," Econometric Theory, 15, 1999, 361-376. Go to the RePEc page for the working paper version. Go to the RePEc page for the published version.

• James G. MacKinnon, Alfred A. Haug, and Leo Michelis, "Numerical distribution functions of likelihood ratio tests for cointegration," Journal of Applied Econometrics, 14, 1999, 563-577. Go to the RePEc page for the working paper version. Go to the RePEc page for the published version. Get a revised version of the working paper. The programs and files of response surface coefficients for this paper may be obtained here.

• Russell Davidson and James G. MacKinnon, "Bootstrap tests: How many bootstraps?" Econometric Reviews, 19, 2000, 55-68. Download the working paper version, which has had references updated.

• Alfred A. Haug, James G. MacKinnon, and Leo Michelis, "European monetary union: A cointegration analysis," Journal of International Money and Finance, 19, 2000, 419-432. Get the working paper version. Go to the RePEc page for the published version.

• James G. MacKinnon, "Computing numerical distribution functions in econometrics," in High Performance Computing Systems and Applications, ed. A. Pollard, D. Mewhort, and D. Weaver, Amsterdam, Kluwer, 2000, 455-470. Get the working paper version. The programs and files of response surface coefficients for this paper may be obtained here.

• Russell Davidson and James G. MacKinnon, "Artificial regressions," Chapter 1 of Companion to Theoretical Econometrics, ed. B. Baltagi, Oxford, Blackwell, 2001, 16-37. Go to the RePEc page for the working paper version.

• Russell Davidson and James G. MacKinnon, "Bootstrap J tests of nonnested linear regression models," Journal of Econometrics, 109, 2002, 167-193. Go to the RePEc page for the working paper version. Go to the RePEc page for the published version.

• Neil R. Ericsson and James G. MacKinnon, "Distributions of error correction tests for cointegration," Econometrics Journal, 5, 2002, 285-318. Get the working paper version. Get the published version. The programs and files of response surface coefficients for this paper may be obtained here.

• Russell Davidson and James G. MacKinnon, "Fast double bootstrap tests of nonnested linear regression models," Econometric Reviews, 21, 2002, 417-427. Get the working paper version. Get the published version.

• James MacKinnon, "Bootstrap inference in econometrics," Canadian Journal of Economics, 35, 2002, 615-645. This was the 2002 Presidential Address of the Canadian Economics Association. Get the working paper version. Get the published version.

• Russell Davidson and James G. MacKinnon, "Bootstrap methods in econometrics," Chapter 23 in Palgrave Handbooks of Econometrics: Volume 1 Econometric Theory, ed. T. C. Mills and K. D. Patterson, Basingstoke, Palgrave Macmillan, 2006, 812-838.

• Russell Davidson and James G. MacKinnon, "The power of bootstrap and asymptotic tests," Journal of Econometrics, 133, 2006, 421-441. Get the working paper version. Get the published version.

• Russell Davidson and James G. MacKinnon, "The case against JIVE," (with discussion and reply), Journal of Applied Econometrics, 21, 2006, 827-833. Get the published version. Or get the working paper, the reply, and the figures.

• Russell Davidson and James G. MacKinnon, "Improving the reliability of bootstrap tests with the fast double bootstrap," Computational Statistics and Data Analysis, 51, 2007, 3259-3281. Get the working paper version. Get the published version.

• James G. MacKinnon, "Bootstrap methods in econometrics," Economic Record, 82, s2-s18, 2006. Get the working paper version. Get the published version.

• Jeff Racine and James G. MacKinnon, "Simulation-based tests that can use any number of simulations," Communications in Statistics: Simulation and Computation, 36, 2007, 357-365. Get the working paper version.

• Jeff Racine and James G. MacKinnon, "Inference via kernel smoothing of bootstrap P values," Computational Statistics and Data Analysis, 51, 2007, 5949-5957. Get the working paper version. Get the published version.

• Russell Davidson and James G. MacKinnon, "Moments of IV and JIVE estimators," Econometrics Journal, 10, 2007, 541-553. Get the working paper version. Get the published version.

• Russell Davidson and James G. MacKinnon, "Bootstrap inference in a linear equation estimated by instrumental variables," Econometrics Journal, 11, 2008, 443-477. Get the working paper version. Get the published version.

• Russell Davidson and James G. MacKinnon, "Wild bootstrap tests for IV regression," Journal of Business and Economic Statistics, 28, 2010, 128-144. Get the working paper version. < HREF="http://ideas.repec.org/a/bes/jnlbes/v28i1y2010p128-144.html"> Get the published version.

Some recent discussion papers:

• James G. MacKinnon, "Applications of the fast double bootstrap," QED Working Paper No. 1023, 2006. Get the working paper version.

• James G. MacKinnon, "Bootstrap hypothesis testing," QED Working Paper No. 1127, 2007. Get the working paper version. Published in Handbook of Computational Econometrics, ed. David A. Belsley and John Kontoghiorghes, Chichester, Wiley, 2009, 183--213.

• James G. MacKinnon, "Critical values for cointegration tests," QED Working Paper No. 1227, 2010. This is an updated version of my 1990 UCSD discussion paper, which is no longer available on the web. Three new tables contain critical values that are more accurate and cover more cases than the single table in the original version. Get the paper here.

• James G. MacKinnon and Morten Ø Nielsen, "Numerical distribution functions of fractional unit root and cointegration tests," QED Working Paper No. 1240, 2010. Get the paper here. Get programs and tables here.

• Russell Davidson and James G. MacKinnon, "Confidence sets based on inverting Anderson-Rubin tests," QED Working Paper No. 1257, 2011. Get the paper here.

• James G. MacKinnon, "Thirty years of heteroskedasticity-robust inference," QED Working Paper No. 1268, 2011. Get the paper here. This paper has been published in Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis, ed. Xaiohong Chen and Norman R. Swanson, New York, Springer, 2012, 437-461.

• Russell Davidson and James G. MacKinnon, "Bootstrap confidence sets with weak instruments," QED Working Paper No. 1278, 2011. Get the paper here.

• James G. MacKinnon and Matthew D. Webb, ""Wild bootstrap inference for wildly different cluster sizes", QED Working Paper No. 1314, 2013. Get the paper here.

• Russell Davidson and James G. MacKinnon, "Bootstrap tests for overidentification in linear regression models," QED Working Paper No. 1318, 2013. Get the paper here.

Books:

Russell Davidson and James G. MacKinnon, Econometric Theory and Methods, Oxford University Press, New York, 2004, 750 pages. Corrections, data sets, and solutions to selected exercises are available.

My phone number is 613 533-2293
My FAX number is 613 533-6668
My e-mail address is jgm [AT] econ.queensu.ca