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Davidson

Publications

Housing Quality, Maintenance and RehabilitationJournal articleRussell Davidson, Richard Arnott and David Pines, Review of Economic Studies, Volume 50, Issue 3, pp. 467-494, 1983

This paper investigates a representative landlord's profit-maximization problem in a stationary economy. The landlord must decide on the quality of his housing units at the time of construction, maintenance expenditure over the life of the building, and the time of demolition or rehabilitation. The analysis can be applied to other problems with similar economic structure, notably equipment and durable good maintenance, overhaul and replacement.
Tests for model specification in the presence of alternative hypotheses : Some further resultsJournal articleRussell Davidson, James G. MacKinnon and Halbert White, Journal of Econometrics, Volume 21, Issue 1, pp. 53-70, 1983

No abstract is available for this item.
Testing the specification of multivariate models in the presence of alternative hypothesesJournal articleRussell Davidson and James G. MacKinnon, Journal of Econometrics, Volume 23, Issue 3, pp. 301-313, 1983

No abstract is available for this item.
Small sample properties of alternative forms of the Lagrange Multiplier testJournal articleRussell Davidson and James G. MacKinnon, Economics Letters, Volume 12, Issue 3-4, pp. 269-275, 1983

This paper investigates the small-sample properties of several forms of the Lagrange Multiplier test. We find that alternative variants of the LM test, which can be easily computed from artificial linear regressions, perform very differently in small samples. One variant appears to be acceptably close to its asymptotic distribution; the other can yield quite misleading inferences. These results suggest that care should be taken when choosing which form of LM test to use in applied work.
Some Non-Nested Hypothesis Tests and the Relations among ThemJournal articleRussell Davidson and James G. MacKinnon, Review of Economic Studies, Volume 49, Issue 4, pp. 551-565, 1982

This paper discusses several statistical techniques which can be used to test the validity of a possibly nonlinear and multivariate regression model, using the information provided by estimating one or more alternative models on the same set of data. The techniques we propose can be regarded as alternative implementations of Cox's idea for non-nested hypothesis testing; under the null hypothesis, all of the test statistics are asymptotically the same random variable. For the univariate linear regression case, our test and Pesaran's has asymptotic relative efficiency of unity for local alternatives. Finally, we present sampling experiments for univariate linear models which show that the small-sample performance of our J test and Pesaran's test can be quite different.
On the Intertemporal Incidence of ExternalitiesJournal articleRussell Davidson and G. C. Archibald, Economica, Volume 48, Issue 191, pp. 267-77, 1981

No abstract is available for this item.
Non-Convexities in Continuous-Time Investment TheoryJournal articleRussell Davidson and Richard Harris, Review of Economic Studies, Volume 48, Issue 2, pp. 235-253, 1981

No abstract is available for this item.
Several Tests for Model Specification in the Presence of Alternative HypothesesJournal articleRussell Davidson and James G. MacKinnon, Econometrica, Volume 49, Issue 3, pp. 781-93, 1981

Several procedures are proposed for testing the specification of an econometric model when one or more models purport to explain the same phenomenon. These procedures are closely related, although not identical, to non-nested hypothesis tests proposed by Pesaran and Deaton, and have similar asymptotic properties. They are simple conceptually and computationally, and unlike earlier techniques, may be used to test against several alternative models simultaneously. Some empirical results suggest that ability of the tests to reject false hypotheses is likely to be good in practice.
Efficient estimation of tail-area probabilities in sampling experimentsJournal articleRussell Davidson and James G. MacKinnon, Economics Letters, Volume 8, Issue 1, pp. 73-77, 1981

No abstract is available for this item.
On a simple procedure for testing non-nested regression modelsJournal articleRussell Davidson and James G. MacKinnon, Economics Letters, Volume 5, Issue 1, pp. 45-48, 1980

No abstract is available for this item.