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Details about James Davidson

E-mail:
Homepage:http://www.ex.ac.uk/~jehd201/
Postal address:University of Exeter School of Business and Economics Exeter EX4 4PU
Workplace:Business School, University of Exeter, (more information at EDIRC)

Access statistics for papers by James Davidson.

Last updated 2014-11-06. Update your information in the RePEc Author Service.

Short-id: pda34


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Working Papers

2013

  1. Consistent Model Specification Testing
    Discussion Papers, Exeter University, Department of Economics Downloads

2010

  1. Why crises happen - nonstationary macroeconomics
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2010) Downloads View citations (8)

2008

  1. Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes
    Discussion Papers, Exeter University, Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads

    See also Journal Article in Econometric Theory (2009)
  2. Tests of Bias in Log-Periodogram Regression
    Discussion Papers, Exeter University, Department of Economics Downloads
    Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2005) Downloads View citations (5)

    See also Journal Article in Economics Letters (2009)
  3. Type I and Type II Fractional Brownian Motions: a Reconsideration
    Discussion Papers, Exeter University, Department of Economics Downloads View citations (2)
    See also Journal Article in Computational Statistics & Data Analysis (2009)
  4. When is a Time Series I(0)?
    Discussion Papers, Exeter University, Department of Economics Downloads

2007

  1. Tests for Cointegration with Structural Breaks Based on Subsamples
    Discussion Papers, Exeter University, Department of Economics Downloads View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2010)

2005

  1. The long memory model of political support: some further results
    Working Papers, Lancaster University Management School, Economics Department Downloads
    See also Journal Article in Applied Economics (2007)

2002

  1. Generating schemes for long memory processes: Regimes, aggregation and linearity
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2005)

2000

  1. Bootstrap Tests for Fractional Cointegration: A Reappraisal of the Relationship Between Government Popularity and Economic Performance in the UK
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads

Journal Articles

2010

  1. Tests for cointegration with structural breaks based on subsamples
    Computational Statistics & Data Analysis, 2010, 54, (11), 2498-2511 Downloads View citations (4)
    See also Working Paper (2007)
  2. “Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and the EU Using Indirect Inference” by Mai Le, David Meenagh, Patrick Minford and Mike Wickens: Discussion
    Open Economies Review, 2010, 21, (1), 45-47 Downloads

2009

  1. REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES
    Econometric Theory, 2009, 25, (06), 1589-1624 Downloads View citations (3)
    See also Working Paper (2008)
  2. Tests of bias in log-periodogram regression
    Economics Letters, 2009, 102, (2), 83-86 Downloads View citations (8)
    See also Working Paper (2008)
  3. Type I and type II fractional Brownian motions: A reconsideration
    Computational Statistics & Data Analysis, 2009, 53, (6), 2089-2106 Downloads View citations (3)
    See also Working Paper (2008)

2008

  1. ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION
    Econometric Theory, 2008, 24, (01), 256-293 Downloads View citations (8)
  2. NOTES AND PROBLEMS A GENERAL BOUND FOR THE LIMITING DISTRIBUTION OF BREITUNG'S STATISTIC
    Econometric Theory, 2008, 24, (05), 1443-1455 Downloads

2007

  1. A Review of: “Book Review: Mathematical and Statistical Foundations”
    Econometric Reviews, 2007, 26, (5), 605-607 Downloads
  2. Implementing the wild bootstrap using a two-point distribution
    Economics Letters, 2007, 96, (3), 309-315 Downloads View citations (10)
  3. The long memory model of political support: some further results
    Applied Economics, 2007, 39, (20), 2547-2552 Downloads View citations (5)
    See also Working Paper (2005)

2006

  1. Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
    Journal of Econometrics, 2006, 133, (2), 741-777 Downloads View citations (10)
  2. Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (1), 1-23 Downloads View citations (4)

2005

  1. Generating schemes for long memory processes: regimes, aggregation and linearity
    Journal of Econometrics, 2005, 128, (2), 253-282 Downloads View citations (27)
    See also Working Paper (2002)

2004

  1. Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
    Statistics & Probability Letters, 2004, 68, (2), 137-147 Downloads View citations (7)
  2. Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model
    Journal of Business & Economic Statistics, 2004, 22, (1), 16-29 View citations (113)

2002

  1. A model of fractional cointegration, and tests for cointegration using the bootstrap
    Journal of Econometrics, 2002, 110, (2), 187-212 Downloads View citations (33)
  2. Consistency of kernel variance estimators for sums of semiparametric linear processes
    Econometrics Journal, 2002, 5, (1), 160-175 Downloads View citations (1)
  3. Corrigendum to "Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes": [Journal of Econometrics 106 (2) (2002) 243-269]
    Journal of Econometrics, 2002, 110, (1), 103-104 Downloads View citations (2)
  4. Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes
    Journal of Econometrics, 2002, 106, (2), 243-269 Downloads View citations (24)
  5. Long memory and nonlinear time series
    Journal of Econometrics, 2002, 110, (2), 105-112 Downloads View citations (9)
  6. Modelling political popularity: a correction
    Journal of the Royal Statistical Society Series A, 2002, 165, (1), 187-189 Downloads View citations (5)

2001

  1. Econometric Modelling: Techniques and Applications,: Sean Holly and Martin Weale (Eds.) (2000), Cambridge: Cambridge University Press, x+296 pages. ISBN 0 521 65069 0 Hardback [UK pound]45, $74.95
    International Journal of Forecasting, 2001, 17, (2), 302-303 Downloads

2000

  1. Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
    Econometrica, 2000, 68, (2), 407-424 View citations (49)
  2. THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I
    Econometric Theory, 2000, 16, (05), 621-642 Downloads View citations (46)
    Also in Econometric Theory, 2000, 16, (05), 643-666 (2000) Downloads View citations (28)

1998

  1. A Wald test of restrictions on the cointegrating space based on Johansen's estimator
    Economics Letters, 1998, 59, (2), 183-187 Downloads View citations (6)
  2. A non-linear error correction mechanism based on the bilinear model1
    Economics Letters, 1998, 58, (2), 165-170 Downloads View citations (20)
  3. Structural relations, cointegration and identification: some simple results and their application
    Journal of Econometrics, 1998, 87, (1), 87-113 Downloads View citations (62)

1997

  1. Modelling Political Popularity: an Analysis of Long-range Dependence in Opinion Poll Series
    Journal of the Royal Statistical Society Series A, 1997, 160, (3), 471-490 Downloads View citations (30)
  2. Strong laws of large numbers for dependent heterogeneous processes: a synthesis of recent and new results
    Econometric Reviews, 1997, 16, (3), 251-279 Downloads View citations (8)

1994

  1. Identifying Cointegrating Regressions by the Rank Condition
    Oxford Bulletin of Economics and Statistics, 1994, 56, (1), 105-10 View citations (11)
  2. Modelling the UK Gilt-Edged Market
    Journal of Applied Econometrics, 1994, 9, (3), 231-53 Downloads

1993

  1. An L1-convergence theorem for heterogeneous mixingale arrays with trending moments
    Statistics & Probability Letters, 1993, 16, (4), 301-304 Downloads View citations (8)
  2. The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case
    Econometric Theory, 1993, 9, (03), 402-412 Downloads View citations (6)

1992

  1. A Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes
    Econometric Theory, 1992, 8, (03), 313-329 Downloads View citations (12)

1991

  1. Cointegration in Recursive Systems
    Economic Journal, 1991, 101, (405), 239-51 Downloads View citations (22)

1990

  1. Buffer stocks, credit, and aggregation effects in the demand for broad money: Theory and an application to the U.K. personal sector
    Journal of Policy Modeling, 1990, 12, (2), 349-376 Downloads View citations (1)
    Also in Proceedings, 1990, 349-385 (1990) View citations (2)
  2. Reply to Rasche's comments on "Buffer stock, credit, and aggregation effects in the demand for broad money: Theory and an application to the U.K. personal sector"
    Journal of Policy Modeling, 1990, 12, (2), 383-385 Downloads

1987

  1. Buffer Stock Models of the Monetary Sector
    National Institute Economic Review, 1987, 121, (1), 67-71 Downloads View citations (3)

1985

  1. FIML estimation of models with multiple regimes and covariance restrictions
    Economics Letters, 1985, 18, (1), 27-30 Downloads

1981

  1. Interpreting econometric evidence: The behaviour of consumers' expenditure in the UK
    European Economic Review, 1981, 16, (1), 177-192 Downloads View citations (26)
  2. Problems with the estimation of moving average processes
    Journal of Econometrics, 1981, 16, (3), 295-310 Downloads View citations (12)

1978

  1. Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom
    Economic Journal, 1978, 88, (352), 661-92 Downloads View citations (332)

Books

1994

  1. Stochastic Limit Theory: An Introduction for Econometricians
    OUP Catalogue, Oxford University Press View citations (185)
 
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