WorldCat Identities

MacKinnon, James G.

Overview
Works: 115 works in 272 publications in 2 languages and 1,445 library holdings
Roles: Author, Other
Classifications: HB139, 330.015195
Publication Timeline
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Most widely held works about James G MacKinnon
 
Most widely held works by James G MacKinnon
Estimation and inference in econometrics by Russell Davidson( Book )

15 editions published between 1992 and 1993 in English and Greek, Modern and held by 618 WorldCat member libraries worldwide

Este libro utiliza argumentos geometricos simples a la comprension del estudiante sobre asuntos basicos y avanzados en econometria, a traves de aplicaciones practicas de teoria moderna y de tecnicas no lineales de la estimacion
Econometric theory and methods by Russell Davidson( Book )

22 editions published between 2004 and 2009 in English and held by 446 WorldCat member libraries worldwide

This comprehensive, yet accessible introductory text includes all of the major subjects of modern econometrics. It relies on concepts rather than alegbra and features a discussion of the 'bootstrap' - that is, a way to make inferences in a wide variety of econometric models
Several tests for model specification in the presence of alternative hypotheses by Russell Davidson( Book )

6 editions published between 1979 and 1982 in English and held by 15 WorldCat member libraries worldwide

Some non-nested hypothesis tests and the relations among them by Russell Davidson( Book )

4 editions published in 1980 in English and Undetermined and held by 14 WorldCat member libraries worldwide

Distributions of error correction tests for cointegration by Neil R Ericsson( Book )

5 editions published in 1999 in English and held by 13 WorldCat member libraries worldwide

This paper provides cumulative distribution functions, densities, and finite sample critical values for the single-equation error correction statistic for testing cointegration. Graphs and response surfaces summarize extensive Monte Carlo simulations and highlight simple dependencies of the statistic's quantiles on the number of variables in the error correction model, the choice of deterministic components, and the estimation sample size. The response surfaces provide a convenient way for calculating finite sample critical values at standard levels; and a computer program, freely available over the Internet, can be used to calculate both critical values and p-values. Three empirical examples illustrate these tools
Model specification tests based on artificial linear regressions by Russell Davidson( Book )

7 editions published between 1980 and 1981 in English and Undetermined and held by 13 WorldCat member libraries worldwide

The size and power of bootstrap tests by Russell Davidson( Book )

7 editions published in 1996 in English and held by 13 WorldCat member libraries worldwide

Inflation and the savings rate by Russell Davidson( Book )

4 editions published between 1979 and 1982 in English and held by 11 WorldCat member libraries worldwide

Implicit alternatives and the local power of test statistics by Russell Davidson( Book )

6 editions published between 1984 and 1985 in English and held by 10 WorldCat member libraries worldwide

Convenient specification tests for logit and probit models by Russell Davidson( Book )

3 editions published in 1983 in English and held by 9 WorldCat member libraries worldwide

Numerical distribution functions of likelihood ratio tests for cointegration by James G MacKinnon( Book )

4 editions published in 1998 in English and held by 9 WorldCat member libraries worldwide

Numerical distribution functions for unit root and cointegration tests by James G MacKinnon( Book )

5 editions published between 1995 and 2010 in English and held by 9 WorldCat member libraries worldwide

We calculate numerically the asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions depend on a real-valued parameter, b, which must be estimated, simple tabulation is not feasible. Partly due to the presence of this parameter, the choice of model specification for the response surface regressions used to obtain the numerical distribution functions is more involved than is usually the case. We deal with model uncertainty by model averaging rather than by model selection. We make available a computer program which, given the dimension of the problem, q, and a value of b, provides either a set of critical values or the asymptotic P value for any value of the likelihood ratio statistic. The use of this program is illustrated by means of an empirical example involving opinion poll data. -- Cofractional process ; fractional unit root ; fractional cointegration ; response surface regression ; cointegration rank ; numerical distribution function ; model averaging
Convenient methods for estimation of linear regression models with MA(1) errors by Glenn M MacDonald( Book )

6 editions published in 1983 in English and held by 8 WorldCat member libraries worldwide

Graphical methods for investigating the size and power of hypotheses tests by Russell Davidson( Book )

7 editions published in 1994 in English and held by 7 WorldCat member libraries worldwide

A simplified version of a differencing specification test by Russell Davidson( Book )

3 editions published in 1984 in English and held by 7 WorldCat member libraries worldwide

Bootstrap tests of nonnested linear regression models by Russell Davidson( Book )

7 editions published between 1997 and 2003 in English and held by 7 WorldCat member libraries worldwide

Seasonality in regression : economic theory and econometric practice by Mark Gersovitz( Book )

2 editions published in 1977 in English and held by 7 WorldCat member libraries worldwide

Testing the specification of econometric models in regression and non-regression directions by Russell Davidson( Book )

4 editions published in 1986 in English and held by 7 WorldCat member libraries worldwide

Double-length artificial regressions by Russell Davidson( Book )

4 editions published between 1987 and 1999 in English and Undetermined and held by 7 WorldCat member libraries worldwide

Approximate bias correction in econometrics by James G MacKinnon( Book )

4 editions published between 1995 and 1996 in English and held by 7 WorldCat member libraries worldwide

 
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Audience level: 0.70 (from 0.67 for Estimation ... to 0.89 for Bootstrap ...)

Estimation and inference in econometrics
Alternative Names
James G. MacKinnon Canadian economist

Mac Kinnon James G.

MacKinnon, James G.

Mc Kinnon James G.

McKinnon James G.

Languages
Covers
Econometric theory and methods