Russell Davidson

McGill University

Professor

855 Sherbrooke Street West

Department of Economics

Montreal, Quebec H3A 2T7 H3A 2T7

Canada

AMSE-GREQAM

Professeur

GREQAM

Centre de la Vieille Charité

Marseille, 13002

France

SCHOLARLY PAPERS

12

DOWNLOADS

686

CITATIONS
Rank 9,615

SSRN RANKINGS

Top 9,615

in Total Papers Citations

57

Scholarly Papers (12)

1.
Downloads 277 (108,511)
Citation 34

Testing for Restricted Stochastic Dominance

IZA Discussion Paper No. 2047
Number of pages: 37 Posted: 30 Mar 2006
Russell Davidson and Jean-Yves Duclos
McGill University and Laval University
Downloads 184 (161,920)
Citation 10

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stochastic dominance, empirical likelihood, bootstrap test

Testing for Restricted Stochastic Dominance

CIRPEE Working Paper No. 06-09
Number of pages: 36 Posted: 04 Apr 2006
Russell Davidson and Jean-Yves Duclos
McGill University and Laval University
Downloads 93 (276,773)
Citation 30

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Stochastic dominance, empirical likelihood, bootstrap test

2.

Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality

Universite Laval WP98-05
Number of pages: 39 Posted: 26 Mar 1998
Russell Davidson and Jean-Yves Duclos
McGill University and Laval University
Downloads 244 (123,740)
Citation 171

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3.

Modelling Volatility Transmission in the Forex Market Using High-Frequency Data

Number of pages: 25 Posted: 19 Jan 2018
GEF-2A LAb, Institut Supérieur de Gestion de Tunis, University of Tunis, Tunis Business School, University of Tunis, McGill University and University of Bisha
Downloads 97 (267,288)

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Foreign exchange markets, Realized volatility, High-frequency data, Volatility transmission, HAR model, DCC-GARCH

4.

The Iterated Bootstrap

Number of pages: 32 Posted: 17 Sep 2013
Russell Davidson and Mirza Trokic
McGill University and Bilkent University
Downloads 32 (452,354)
Citation 1

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Bootstrap iteration, fast iterated bootstrap

5.

Moments of IV and JIVE Estimators

Econometrics Journal, Vol. 10, Issue 3, pp. 541-553, November 2007
Number of pages: 13 Posted: 31 Oct 2007
Russell Davidson and James G. MacKinnon
McGill University and Queen's University - Department of Economics
Downloads 29 (466,519)
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6.

Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables

Econometrics Journal, Vol. 11, Issue 3, pp. 443-477, November 2008
Number of pages: 35 Posted: 03 Nov 2008
Russell Davidson and James G. MacKinnon
McGill University and Queen's University - Department of Economics
Downloads 3 (621,266)
Citation 6
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7.

Advances in Specification Testing

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 50, Issue 5, pp. 1595-1631, 2017
Number of pages: 37 Posted: 02 Jan 2018
Russell Davidson and Victoria Zinde‐Walsh
McGill University and McGill University
Downloads 1 (643,830)
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8.

Computing, the Bootstrap and Economics

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 48, Issue 4, pp. 1195-1214, 2015
Number of pages: 20 Posted: 27 May 2016
Russell Davidson
McGill University
Downloads 1 (643,830)
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9.

More Reliable Inference for the Dissimilarity Index of Segregation

The Econometrics Journal, Vol. 18, Issue 1, pp. 40-66, 2015
Number of pages: 27 Posted: 31 Mar 2015
University of London - Institute of Education, University of Bristol - Department of Economics, McGill University and University of Bristol - Department of Economics
Downloads 1 (643,830)
Citation 10
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Bootstrap methods, Dissimilarity index, Hypothesis testing, Segregation

10.

Statistical Inference in the Presence of Heavy Tails

The Econometrics Journal, Vol. 15, Issue 1, pp. C31-C53, 2012
Number of pages: 23 Posted: 17 Feb 2012
Russell Davidson
McGill University
Downloads 1 (643,830)
Citation 4
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Bootstrap, Heavy tails, Inference, Wild bootstrap

11.

Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory Versus Structural Breaks

Posted: 09 Jan 2018 Last Revised: 22 Feb 2018
University of Bisha, GEF-2A LAb, Institut Supérieur de Gestion de Tunis, University of Tunis, McGill University and Tunis Business School, University of Tunis

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Foreign Exchange Markets, Realized Volatility, High-Frequency Data, Long Memory, Structural Change

12.

Confidence Sets Based on Inverting Anderson–Rubin Tests

The Econometrics Journal, Vol. 17, Issue 2, pp. S39-S58, 2014
Number of pages: 20 Posted: 05 Jun 2014
Russell Davidson and James G. MacKinnon
McGill University and Queen's University - Department of Economics
Downloads 0 (661,936)
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AR test, Confidence set, F‐test, Limited information maximum likelihood, Overidentifying restrictions, Sargan test, Simultaneous equations, Weak instruments