Working Papers - Russell Davidson

Many of my recent (and not so recent) working papers can be downloaded from this site. Here is the list of what is available.

• Russell Davidson, "The Geometry of the Wald Test", July 1990. This paper, although submitted to Econometrica, has never been published, other than as a discussion paper. Here is a PDF version of that discussion paper.
  
  
• Russell Davidson, Walter C. Labys, and Jean-Baptiste Lesourd "Wavelet Analysis of Commodity Price Behavior", version of October 1996. A PDF version is available. A shortened version of the paper has been published in Computational Economics 11 (1998), 103-128.
  
  
• Russell Davidson and Jean-Yves Duclos, "Statistical Inference for the Measurement of the Incidence of Taxes and Transfers", January 1997. This paper appeared in Econometrica 65 (1997), 1453-1465. It is available here as a PDF file.
  
  
• Russell Davidson and James G. MacKinnon, "Graphical Methods for Investigating the Size and Power of Hypothesis Tests". This is the final version, of March 1997. The paper appeared in The Manchester School 66 (1998), 1-26. It is here in PDF.
  
  
• Russell Davidson and James G. MacKinnon, "The Size Distortion of Bootstrap Tests". This is the final working paper version, June 1998. The paper appeared in Econometric theory 15 (1999) 361-376. It is here in PDF.
  
  
• Russell Davidson and James G. MacKinnon, "Bootstrap Tests: How Many Bootstraps?" This paper has now appeared in Econometric Reviews 19 (2000), 55-68. Here is a PDF version .
  
  
• Russell Davidson and James G. MacKinnon, "Bootstrap Testing in Nonlinear Models", November 1997. This is the final version (PDF) of this paper in working paper form. It appeared in the International Economic Review 40 (1999), 487--508.
  
  
• Russell Davidson, "Efficiency and Robustness in a Geometrical Perspective", May 1998. This paper has appeared in Applications of Differential Geometry to Econometrics, edited by Paul Marriott and Mark Salmon, Cambridge Unversity Press, 2000. A PDF version is available.
  
  
• Russell Davidson and Jean-Yves Duclos, "Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality", November 1999. A PDF file is available. The abstract can be viewed separately. This paper appeared in Econometrica 68 (2000), 1435-1464.
  
  
• Russell Davidson and James G. MacKinnon, "Bootstrap J Tests of Nonnested Linear Regression Models", July 2001. This paper appeared in the Journal of Econometrics 109 (2001), 167--193. A PDF version is available.
  
  
• Russell Davidson, "Bootstrap Confidence Intervals Based on Inverting Hypothesis Tests", March 2000. This working paper is based on a comment on a paper, Recent Developments on Bootstrapping Time Series, by Berkowitz and Kilian. The paper and the comment were published in Econometric Reviews 19 (2000), 49-54. The working paper (the comment only) is available as a PDF file.
  
  
• Russell Davidson and James G. MacKinnon, "Artificial Regressions", December 1998. This is the working paper version of a chapter that appeared in A Companion to Theoretical econometrics, edited by B.H. Baltagi, Blackwell, Oxford, 2001. A PDF version is available.
  
  
• Russell Davidson and James G. MacKinnon, "Fast Double Bootstrap Tests of Nonnested Linear Regression Models", August 2001. A PDF version is available. This paper appeared in Econometric Reviews 21 (2002), 419-429.
  
  
• Russell Davidson and Emmanuel Flachaire, "The Wild Bootstrap, Tamed at Last," version of April 2007. This paper was eventually published in the Journal of Econometrics 146 (2008), 162-169. It is available as a PDF file .
  
  
• Russell Davidson and James G. MacKinnon, "Improving the Reliability of Bootstrap Confidence Intervals", September 2001. This paper, which is still preliminary , was presented at the conference Resampling Methods in Econometrics held at the Université de Montréal in October 2001. A PDF version is available.
  
  
• Russell Davidson and James G. MacKinnon, "The Power of Bootstrap and Asymptotic Tests", revised October 2003. An earlier version of this paper was presented at the conference Resampling Methods in Econometrics held at the Université de Montréal, October 2001. This version was published in the conference special issue of the Journal of Econometrics 133 (2006), 421-441. There is a PDF version available.
  
  
• Russell Davidson, "Maximum Likelihood Estimation by Artificial Regression", revised November 2003. The first version of this paper was presented at the July 2003 meeting of the Econometric Study Group in Bristol, and a later version at ESEM04 in Madrid. It is available here as a PDF file.
  
  
• Russell Davidson and James G. MacKinnon, "Improving the Reliability of Bootstrap Tests with the Fast Double Bootstrap", final version (March 2006) of the paper originally entitled just "Improving the Reliability of Bootstrap Tests". This paper has appeared in Computational Statistics and Data Analysis 51 (2007), 3259-3281. There is a PDF version available. I presented earlier versions of this paper at ESEM01 in Lausanne, and at LAMES03 in Panama City.
  
  
• Russell Davidson and James G. MacKinnon, "The Case against JIVE", February 2004. A preliminary version of this paper was presented by JGM to the Montreal Econometrics Seminar in November 2003. The final version appears in the Journal of Applied Econometrics 6 (2006), 827-833. The PDF file is more complete than the version that was published, since it contains a much greater selection of graphically presented results.
  
  
• Russell Davidson and Emmanuel Flachaire, "Asymptotic and Bootstrap Inference for Inequality and Poverty Measures", November 2005. A very preliminary version of this paper was presented at the STICERD conference on Inequality: Measurement, Consequences, and Policy in May 2000. A much revised version was presented at the conference Semiparametrics in Rio in July 2004. It was subsequently published in a special issue for the conference of the Journal of Econometrics 141 (2007), 141-166. A PDF discussion paper is available here.
  
  
• Russell Davidson and James G. MacKinnon, "Bootstrap Methods in Econometrics", 2006. This paper has appeared as Chapter 25 of Palgrave Handbooks of Econometrics: Vol. 1 Econometric Theory edited by Kerry Patterson and Terence C. Mills. This link is to an earlier (July 2005) discussion paper version of the article.
  
  
• Russell Davidson and James G. MacKinnon, "Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables", August 2007. This paper appeared in the Econometrics Journal 11 (2008), 443-477. It was presented at the 2006 meeting of the Canadian Economics Association, and at the 2006 European meeting of the Econometric Society. Here is the PDF file.
  
  
• Russell Davidson, "Stochastic Dominance", March 2006. This is a discussion paper version of an entry in the New Palgrave Dictionary of Economics, 2nd edition, published by Palgrave Macmillan, 2006.
  
  
• Russell Davidson and James G. MacKinnon, "Moments of IV and JIVE Estimators", June 2007. This paper has appeared in the Econometrics Journal 10 (2007), 541-553. The discussion paper is available as a PDF file.
  
  
• Russell Davidson and Jean-Yves Duclos, "Testing for Restricted Stochastic Dominance", July 2008. This paper finally appeared in Econometric Reviews 32 2013, 84-125. An earlier version was presented at the 2005 World Congress of the Econometric Society. The final discussion paper version is available in this PDF file.
  
  
• Russell Davidson, "Testing for Restricted Stochastic Dominance: some Further Results", August 2008. The paper appeared in the first issue of the Review of Economic Analysis 1 (2009), 34-59. Here is the discussion paper version.
  
  
• Russell Davidson, "Bootstrapping Econometric Models", June 2007. This paper has appeared, translated into Russian, in Quantile, 3, 13-36. Here is an English version.
  
  
• Russell Davidson and James G. MacKinnon, "Wild bootstrap tests for IV regression", March 2008. This paper appeared in the Journal of Business and Economic Statistics 28 2010, 128-144. . Here is the discussion paper version.
  
  
• Russell Davidson, "Reliable Inference for the Gini Index", October 2008. The paper was presented at the 2008 meeting of the CEA in Vancouver, and has been published in the Journal of Econometrics, 150 2009, 30-40. The discussion paper available here is the revised version accepted by the journal.
  
  
• Russell Davidson, "Exploring the Bootstrap Discrepancy", August 2008. This was an invited paper presented at the COMPSTAT conference in Porto, Portugal, in 2008. The version available here is a slightly revised version of the paper published in the conference proceedings.
  
  
• Adriana Cornea and Russell Davidson, "A Parametric Bootstrap for Heavy-Tailed Distributions", November 2012. This version of the paper is what was published in Econometric Theory, 31 (2015) 449-470. It was heavily revised following its presentation at the ESRC conference in July 2009 in Bristol.
  
  
• Russell Davidson, "Size Distortion of Bootstrap Tests: Application to a Unit Root Test", August 2009. The first version of this paper was presented at the 2nd Annual Granger Centre Conference in Nottingham, England, subsequent versions at the 4th London and Oxbridge Time Series workshop, and at the Econometrics workshop held at Rimini in July 2009. Here is the version of August 2009, subsequently published in the Review of Economic Analysis 2 2010, 169-193
  
  
• Russell Davidson, "An Agnostic Look at Bayesian Statistics and Econometrics", February 2010. This paper was presented at the same conference in Rimini as the paper above, as part of a debate between me, a non-Bayesian, and Christian P. Robert, a Bayesian. The paper I wrote following the debate appeared in the Review of Economic Analysis 2 (2010), 153--168. It is here as a PDF file.
  
  
• Russell Davidson, "Inference on Income Distributions", May 2010. This paper was the basis for the Innis Lecture that I gave at the 2010 annual conference of the Canadian Economics Association in Quebec City. It was published as "Innis Lecture: Inference on Income Distributions'', in the Canadian Journal of Economics 43 2010, 1122--1148. This PDF file is the discussion paper version.
  
  
• Russell Davidson, "Statistical Inference in the Presence of Heavy Tails'', November 2010. The first version of this paper was prepared for the Special Session entitled ''Econometrics of Inequality" sponsored by The Econometrics Journal at the 2010 Royal Economic Society Conference, March 2010, at the University of Surrey. The discussion paper version is here. The paper appeared in the Econometrics Journal 15 (2012), C31--C53.
  
  
• Russell Davidson and James G. MacKinnon, "Bootstrap Confidence Sets with Weak Instruments'', March 2012. The paper appeared in Econometric Reviews 33 (2013), 651--675. The discussion paper version is here.
  
  
• Russell Davidson, "Time and Causality", May 2012. This paper was the basis of a presentation made at the Doctoriales held at GREQAM in Marseilles in January 2012. It appeared in the Annales d'Économie et de Statistique 109/110 (2013), 7--22. Here is the submitted version of the paper.
  
  
• Russell Davidson and James G. MacKinnon, "Confidence Sets Based on Inverting Anderson-Rubin Tests", February 2013. The paper appeared in the Econometrics Journal 17(2) (2014), S39-S58. Here is the discussion paper version.
  
  
• Frank A. Cowell, Russell Davidson, and Emmanuel Flachaire, "Goodness of Fit: an Axiomatic Approach", February 2014. The paper appeared in the Journal of Business and Economic Statistics 33(1) (2015), 54--67. Here is the discussion paper version.
  
  
• Rebecca Allen, Simon Burgess, Russell Davidson, and Frank Windmeijer, "More Reliable Inference for the Dissimilarity Index of Segregation", June 2014. The paper appeared in the Econometrics Journal 18 (2015), 40--66. This PDF file is the discussion paper version.
  
  
• Russell Davidson and James G. MacKinnon, "Bootstrap Tests for Overidentification in Linear Regression Models", July 2015. The paper appeared in the online journal Econometrics 3 (2015), 825--63. The version available as a discussion paper is here.
  
  
• Russell Davidson, "Computing, the Bootstrap, and Economics", May 2015. This paper was the basis for my Presidential address at the 2015 annual conference of the Canadian Economics Association. It appeared in the Canadian Journal of Economics 48 (2015), 1195-1214. Here is the paper as submitted to the journal.
  
  
• Russell Davidson, "Diagnostics for the Bootstrap and Fast Double Bootstrap", May 2017. This paper was presented at a conference held in November 2014 at Emory University, Atlanta, Georgia, in honours of the longtime editor of Econometric Reviews, Esfandiar Maasoumi. This version of the paper appeared in that journal. The paper has also been published online, and can be accessed by following this link.
  
  
• Russell Davidson, "A Discrete Model for Bootstrap Iteration", September 2017. This paper appeared in a special issue of the Journal of Econometrics in honour of Christian Gouriéroux, 201, 228--236. An earlier version is available as CEMMAP working paper CWP38/15. The submitted version of the paper is available here.
  
  
• Russell Davidson and Victoria Zinde-Walsh, "Advances in Specification Testing", December 2017. The paper was published in the Canadian Journal of Economics, 50, 1595--1631, and is available online: doi:10.1111/caje.12309.
  
  
• Russell Davidson, "Statistical Inference on the Canadian Middle Class", March 2018. The paper is contained in the online journal Econometrics, 2018, 6(1), 14; https://doi.org/10.3390/econometrics6010014.
  
  
• A. Ben Maatoug, R. Lamouchi, R. Davidson, and I. Fatnassi, "Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks", Journal of Economic Modelling and Econometrics, 10, 1--25.
  
  
• Russell Davidson and Mirza Trokić, "The Fast Iterated Bootstrap", October 2020. This paper appeared in a special issue of the Journal of Econometrics in honour of Jean-Marie Dufour, 218(2) 451--475, https://doi.org/10.1016/j.jeconom.2020.04.025. A PDF version of the paper can be found here.
  
  
• Russell Davidson and Stan Hurn, "The Bootstrap", entry in SAGE Research Methods Foundations, published online 2020, https://methods.sagepub.com/foundations/bootstrap-the.
  
  
• Charles M. Beach and Russell Davidson, "Income Share Standard Errors and a Quantile Toolbox of Distributional Statistics", working paper, available here.

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URL: http://russell-davidson.research.mcgill.ca/articles/