Welcome to my professional home page!

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

Here is a link to the website for ECON 850, fall 2019.

I have been at Queen's since 1975, where I am at present the Sir Edward Peacock Professor of Econometrics. I founded and still maintain the Journal of Applied Econometrics Data Archive.

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.

Here is a subset of my publications. Older papers are included only if there is supplementary material here.

• 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, "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.

• 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.

• 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.

• Neil R. Ericsson and James G. MacKinnon, "Distributions of error correction tests for cointegration," The 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, "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, "Bootstrap methods in econometrics," Chapter 23 in Palgrave Handbooks of Econometrics: Volume 1 Econometric Theory, edited by T. C. Mills and K. D. Patterson, Basingstoke, Palgrave Macmillan, 2006, 812-838. Get the paper.

• James G. MacKinnon, "Bootstrap hypothesis testing," in Handbook of Computational Econometrics, ed. David A. Belsley and John Kontoghiorghes, Chichester, Wiley, 2009, 183--213. Get the working paper 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. Get the published version.

• James G. MacKinnon, "Thirty years of heteroskedasticity-robust inference," in Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis, ed. Xaiohong Chen and Norman R. Swanson, New York, Springer, 2013, 437-461. Get the working paper version.

• James G. MacKinnon and Morten Ø. Nielsen, "Numerical distribution functions of fractional unit root and cointegration tests," Journal of Applied Econometrics, 29, 2014, 161-171. Get the paper here. Get programs and tables here.

• Russell Davidson and James G. MacKinnon, "Confidence sets based on inverting Anderson-Rubin tests," The Econometrics Journal, 17, 2014, S39-S58. Get the working paper version.

• Russell Davidson and James G. MacKinnon, "Bootstrap confidence sets with weak instruments," Econometric Reviews, 33, 2014, 651-675. Get the working paper version.

• Russell Davidson and James G. MacKinnon, "Bootstrap tests for overidentification in linear regression models," Econometrics, 3, 2015, 825-863. Get the open-source published version.

• James G. MacKinnon, "Wild cluster bootstrap confidence intervals," L'Actualité Économique, 91, 2015, 11-33. Get the working paper version.

• James G. MacKinnon, "Inference with large clustered datasets," L'Actualité Économique, 92, 2016, 649-665. Get the working paper version.

• James G. MacKinnon and Matthew D. Webb, "Wild bootstrap inference for wildly different cluster sizes", Journal of Applied Econometrics, 32, 2017, 233-254. Get the working paper version. Get the published version.

• James G. MacKinnon and Matthew D. Webb, "Pitfalls when estimating treatment effects using clustered data," The Political Methodologist, 24, 2017, 20-31. Get the complete issue. Get the working paper version.

• James G. MacKinnon and Matthew D. Webb, "The wild bootstrap for few (treated) clusters," The Econometrics Journal, 21, 2018, 114-135. Get the working paper.

• David Roodman, James G. MacKinnon, Morten Ø Nielsen, and Matthew D. Webb, "Fast and wild: Bootstrap inference in Stata using boottest," The Stata Journal, 19, 2019, 4-60. Get the working paper.

• James G. MacKinnon and Matthew D. Webb, "Wild bootstrap randomization inference for few treated clusters," in The Econometrics of Complex Survey Data: Theory and Applications, ed. Kim P. Huynh, David Tomás Jacho-Chávez, and Gautam Tripathi, Vol. 39 of Advances in Econometrics, Emerald Group, 2019, 61-85. Get the working paper.

• James G. MacKinnon, "How cluster-robust inference is changing applied econometrics," Canadian Journal of Economics, 52, 2019, 851-881. Get the working paper.

• Antoine Djogbenou, James G. MacKinnon, and Morten Ø. Nielsen, "Asymptotic theory and wild bootstrap inference with clustered errors," Journal of Econometrics, 212, 2019, 393-412. Get the working paper.

• James G. MacKinnon and Matthew D. Webb, "Randomization inference for difference-in-differences with few treated clusters," Journal of Econometrics, 218, 2020, 435-450 Get the working paper.

• James G. MacKinnon, Morten Ø. Nielsen, and Matthew D. Webb, "Wild bootstrap and asymptotic inference with multiway clustering," Journal of Business and Economic Statistics, 2020, forthcoming. Get the working paper.

Some recent and unpublished working papers:

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

• 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 and 1991 book chapter. 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.

• James G. MacKinnon and Matthew D. Webb, "When and how to deal with clustered errors in regression models," Working Paper No. 1421, 2019. Get the paper.

• James G. MacKinnon, Morten Ø. Nielsen, and Matthew D. Webb, "Testing for the appropriate level of clustering in linear regression models," QED Working Paper No. 1428, 2020 Get the working paper.

Backups of Working Papers:

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.

Don Andrews Herman Bierens Francisco Cribari-Neto James Davidson Russell Davidson Frank Diebold Jurgen Doornik Jean-Marie Dufour Graham Elliott Rob Engle Silvia Goncalves John Geweke Eric Ghysels David Giles Bill Greene James Hamilton Bruce Hansen Lars Hansen Yongmiao Hong Bo Honoré Joel Horowitz Guido Imbens Mark Kamstra Shakeeb Khan Jan Kiviet Gary Koop Blake LeBaron Arthur Lewbel

J. Huston McCulloch Nour Meddahi John Nankervis Morten Nielsen Harry Paarsch Pierre Perron Hashem Pesaran Peter Phillips Joris Pinkse Stephen Pollock Jeff Racine Paul Rilstone John Rust Paul Ruud Mark Salmon Chris Sims Thanasis Stengos Jim Stock Houston Stokes Norman Swanson George Tauchen Michael Veall H. D. Vinod Mark Watson Ken West Jeff Wooldridge Eric Zivot

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