Emeritus Professor
Education
B.A. (York), M.A., Ph.D. (Princeton), F.R.S.C.
Organization
Queen's University
Office
Dunning Hall 236
Email
mackinno@queensu.ca
Phone Number
(613) 533-2293
Personal URL
CV
Research Interests
Bootstrap methods
Cluster-robust inference
James MacKinnon is an Emeritus Professor. For many years prior to his retirement in 2025, he was the Sir Edward Peacock Professor of Econometrics. In recent years, his work has focused on cluster-robust inference and bootstrap methods. Some of this work has been widely cited in many fields of economics and other academic disciplines. He served as President of the Canadian Economics Association in 2001-02, and he has been a Fellow of the Econometric Society since 1990. Professor MacKinnon earned his PhD from Princeton University before joining the QED in 1975.
Selected Publications
- 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 thepublished 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 theworking 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 thepublished 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 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, "Inference with large clustered datasets," L'Actualité Économique, 92, 2016, 649-665. Get the working paper 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.