Professor James MacKinnon
Welcome to my professional home page!
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 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.
My publications over the past two decades 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.
- James G. MacKinnon, "The Linux operating system: Debian GNU/Linux,'' Journal of Applied Econometrics, 14, 1999, 443--452. Get the working paper version.
- 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," 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, "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," The Econometrics Journal, 10, 2007, 541-553.
Get the working
paper version.
Get the published version.
- 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, "Bootstrap inference in a
linear equation estimated by instrumental variables,"
The 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.
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.
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, "Randomization inference
for difference-in-differences with few treated clusters," QED Working
Paper No. 1355, revised 2018.
Get the paper.
- James G. MacKinnon, Morten Ø. Nielsen, and Matthew D. Webb,
"Bootstrap and asymptotic inference with multiway clustering," QED
Working Paper No. 1386, 2017. Get the paper.
- Antoine Djogbenou, James G. MacKinnon, and Morten Ø. Nielsen,
"Asymptotic theory and wild bootstrap inference with clustered errors," QED
Working Paper No. 1399, 2018. Get the paper.
- James G. MacKinnon and Matthew D. Webb, "Wild bootstrap
randomization inference for few treated clusters," QED Working
Paper No. 1404, 2018.
Get the paper.
- David Roodman, James G. MacKinnon, Morten Ø Nielsen, and Matthew D. Webb, "Fast and wild: Bootstrap inference in Stata using boottest," QED Working Paper No. 1406, 2018. Forthcoming in The Stata Journal. Get the paper.
Backups of Working Papers:
Backup versions of some recent working papers are available here . If other download methods fail, try this.
Books:
Russell Davidson and James G. MacKinnon, Estimation and Inference in Econometrics, Oxford University Press, New York, 1993, 874 pages. Corrections and a supplement are available.
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.
Here are some links to home pages of a few other econometricians.
If you belong on this list and want to join, please send me a note.
My phone number is 613 533-2293
My FAX number is 613 533-6668
My e-mail address is jgm [AT] econ.queensu.ca
