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Davidson

Publications

Economies with a Two-Sector RepresentationJournal articleCharles Blackorby, Russell Davidson et William Schworm, Economic Theory, Volume 3, Issue 4, pp. 717-34, 1993

No abstract is available for this item.
Estimation and Inference in EconometricsBookRussell Davidson et James G. MacKinnon, OUP Catalogue, 1993, 894 pages, Oxford University Press, 1993

Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation. One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.
L'intégration des marchés de l'agro-industrie en Europe et la PACJournal articleRussell Davidson, V. Dorfner, L. A. Gerard-Varet et Didier Laussel, Cahiers d'Economie et de Sociologie Rurales (CESR), Volume 22, pp. 53-64, 1992

No abstract is available for this item.
Regression-based methods for using control variates in Monte Carlo experimentsJournal articleRussell Davidson et James G. MacKinnon, Journal of Econometrics, Volume 54, Issue 1-3, pp. 203-222, 1992

No abstract is available for this item.
A New Form of the Information Matrix TestJournal articleRussell Davidson et James G. MacKinnon, Econometrica, Volume 60, Issue 1, pp. 145-57, 1992

A new form of the information matrix test is developed for a wide variety of statistical models. The test is constructed against an explicit alternative with random parameter variation. It is computed using a double-length artificial regression instead of the more conventional outer-product-of-the-gradient regression, which is known to have very poor finite-sample properties. In Monte Carlo experiments for the case of univariate linear regression models, the new form performs remarkably well. Some approximate finite-sample distributions are also calculated for this case and lend support to the use of the new form. Copyright 1992 by The Econometric Society.
Implicit separability: Characterisation and implications for consumer demandsJournal articleCharles Blackorby, Russell Davidson et William Schworm, Journal of Economic Theory, Volume 55, Issue 2, pp. 364-399, 1991

No abstract is available for this item.
The validity of piecemeal second-best policyJournal articleCharles Blackorby, Russell Davidson et William Schworm, Journal of Public Economics, Volume 46, Issue 3, pp. 267-290, 1991

No abstract is available for this item.
Artificial regressions and C ([alpha]) testsJournal articleRussell Davidson et James G. MacKinnon, Economics Letters, Volume 35, Issue 2, pp. 149-153, 1991

No abstract is available for this item.
Une nouvelle forme du test de la matrice d'informationJournal articleRussell Davidson et James G. MacKinnon, Annals of Economics and Statistics, Issue 20-21, pp. 171-192, 1991

We develop a new form of the information matrix test for a wide variety of statistical models, and present full details for the special case of univariate nonlinear regression models. Chesher (1984) showed that the implicit alternative of the information matrix test is a model with random parameter variation. We exploit this fact by constructing the test against an explicit alternative of this type. The new test is computed using a double-length artificial regression, instead of the more conventional outer product of the gradient regression, which although easy to use, is known to give test statistics with distributions very far from the asymptotic nominal distribution even in rather large samples. The new form on the other hand performs remarkably well, at least in the context of regressions models. Some approximate finite-sample distribution are calculated and lend support to the use of the new form of the test.
On the welfare effects of anti-discrimination regulations in the EC car marketJournal articleRussell Davidson, Mathias Dewatripont, Victor A. Ginsburgh et Martine Labbe, International Journal of Industrial Organization, Volume 7, Issue 2, pp. 205-230, 1989

No abstract is available for this item.