Davidson Distinguished Lecture in Econometrics with Professor James MacKinnon

The Davidson Distinguished Lecture in Econometrics was established in October 2022, thanks to the generosity of Professor Russell Davidson. The Lecture will invite prominent figures to the McGill campus, increase the Department of Economics’ visibility, and allow students and faculty to see more of the broader academic world.

On October 13, please join us for this year’s lecture, featuring guest speaker Professor James MacKinnon, who will be delivering a presentation entitled: Using Large Samples in Econometrics.

Abstract
The samples that economists employ have become larger over time, sometimes a lot larger. This seems good, because large samples generally contain more information than small ones. However, inference in large samples can actually be harder than in small ones. Hypothesis tests and confidence intervals are often based on the assumption that every observation is independent of every other observation. But violations of this assumption are far more consequential for large samples than for small ones. If the observations naturally fall into a modest number of clusters and are correlated within each cluster, then the information content of a large sample may be only slightly greater than that of a much smaller sample. Moreover, failing to account for clustering can lead to much bigger mistakes when a sample is large than when it is small. These points are illustrated graphically using both simulated and actual data.