Details about James Davidson

Access statistics for papers by James Davidson.

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

Short-id: pda34

Working Papers

2013

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

2010

2. Why crises happen - nonstationary macroeconomics
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
   Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2010) View citations (10)

2008

3. Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes
   Discussion Papers, University of Exeter, Department of Economics
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007)
   See also Journal Article REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES, Econometric Theory, Cambridge University Press (2009) View citations (3) (2009)
4. Tests of Bias in Log-Periodogram Regression
   Discussion Papers, University of Exeter, Department of Economics
   Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2005) View citations (6)
   See also Journal Article Tests of bias in log-periodogram regression, Economics Letters, Elsevier (2009) View citations (14) (2009)
5. Type I and Type II Fractional Brownian Motions: a Reconsideration
   Discussion Papers, University of Exeter, Department of Economics View citations (2)
   See also Journal Article Type I and type II fractional Brownian motions: A reconsideration, Computational Statistics & Data Analysis, Elsevier (2009) View citations (14) (2009)
6. When is a Time Series I(0)?
   Discussion Papers, University of Exeter, Department of Economics

2007

7. Tests for Cointegration with Structural Breaks Based on Subsamples
   Discussion Papers, University of Exeter, Department of Economics View citations (2)
   See also Journal Article Tests for cointegration with structural breaks based on subsamples, Computational Statistics & Data Analysis, Elsevier (2010) View citations (13) (2010)

2005

8. The long memory model of political support: some further results
   Working Papers, Lancaster University Management School, Economics Department
   See also Journal Article The long memory model of political support: some further results, Applied Economics, Taylor & Francis Journals (2007) View citations (9) (2007)

2002

9. Generating schemes for long memory processes: Regimes, aggregation and linearity
   Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (5)
   See also Journal Article Generating schemes for long memory processes: regimes, aggregation and linearity, Journal of Econometrics, Elsevier (2005) View citations (48) (2005)

2000

10. 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

Journal Articles

2010

1. Tests for cointegration with structural breaks based on subsamples
   Computational Statistics & Data Analysis, 2010, 54, (11), 2498-2511 View citations (13)
   See also Working Paper Tests for Cointegration with Structural Breaks Based on Subsamples, Discussion Papers (2007) View citations (2) (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

2009

3. REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES
   Econometric Theory, 2009, 25, (6), 1589-1624 View citations (3)
   See also Working Paper Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes, Discussion Papers (2008) (2008)
4. Tests of bias in log-periodogram regression
   Economics Letters, 2009, 102, (2), 83-86 View citations (14)
   See also Working Paper Tests of Bias in Log-Periodogram Regression, Discussion Papers (2008) (2008)
5. Type I and type II fractional Brownian motions: A reconsideration
   Computational Statistics & Data Analysis, 2009, 53, (6), 2089-2106 View citations (14)
   See also Working Paper Type I and Type II Fractional Brownian Motions: a Reconsideration, Discussion Papers (2008) View citations (2) (2008)

2008

6. ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION
   Econometric Theory, 2008, 24, (1), 256-293 View citations (10)
7. NOTES AND PROBLEMS A GENERAL BOUND FOR THE LIMITING DISTRIBUTION OF BREITUNG'S STATISTIC
   Econometric Theory, 2008, 24, (5), 1443-1455 View citations (1)

2007

8. A Review of: “Book Review: Mathematical and Statistical Foundations”
   Econometric Reviews, 2007, 26, (5), 605-607
9. Implementing the wild bootstrap using a two-point distribution
   Economics Letters, 2007, 96, (3), 309-315 View citations (25)
10. The long memory model of political support: some further results
    Applied Economics, 2007, 39, (20), 2547-2552 View citations (9)
    See also Working Paper The long memory model of political support: some further results, Working Papers (2005) (2005)

2006

11. Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
    Journal of Econometrics, 2006, 133, (2), 741-777 View citations (12)
12. Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (1), 23 View citations (15)

2005

13. Generating schemes for long memory processes: regimes, aggregation and linearity
    Journal of Econometrics, 2005, 128, (2), 253-282 View citations (48)
    See also Working Paper Generating schemes for long memory processes: Regimes, aggregation and linearity, Technical Reports (2002) View citations (5) (2002)

2004

14. Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
    Statistics & Probability Letters, 2004, 68, (2), 137-147 View citations (10)
15. 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 (237)

2002

16. A model of fractional cointegration, and tests for cointegration using the bootstrap
    Journal of Econometrics, 2002, 110, (2), 187-212 View citations (46)
17. Consistency of kernel variance estimators for sums of semiparametric linear processes
    Econometrics Journal, 2002, 5, (1), 160-175 View citations (4)
18. 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 View citations (4)
19. Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes
    Journal of Econometrics, 2002, 106, (2), 243-269 View citations (39)
20. Long memory and nonlinear time series
    Journal of Econometrics, 2002, 110, (2), 105-112 View citations (13)
21. Modelling political popularity: a correction
    Journal of the Royal Statistical Society Series A, 2002, 165, (1), 187-189 View citations (7)

2001

22. 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

2000

23. Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
    Econometrica, 2000, 68, (2), 407-424 View citations (84)
24. THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I
    Econometric Theory, 2000, 16, (5), 621-642 View citations (91)
    Also in Econometric Theory, 2000, 16, (5), 643-666 (2000) View citations (90)

1998

25. A Wald test of restrictions on the cointegrating space based on Johansen's estimator
    Economics Letters, 1998, 59, (2), 183-187 View citations (7)
26. A non-linear error correction mechanism based on the bilinear model1
    Economics Letters, 1998, 58, (2), 165-170 View citations (22)
27. Structural relations, cointegration and identification: some simple results and their application
    Journal of Econometrics, 1998, 87, (1), 87-113 View citations (79)

1997

28. 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 View citations (41)
29. Strong laws of large numbers for dependent heterogeneous processes: a synthesis of recent and new results
    Econometric Reviews, 1997, 16, (3), 251-279 View citations (11)

1994

30. Identifying Cointegrating Regressions by the Rank Condition
    Oxford Bulletin of Economics and Statistics, 1994, 56, (1), 105-10 View citations (13)
31. Modelling the UK Gilt-Edged Market
    Journal of Applied Econometrics, 1994, 9, (3), 231-53

1993

32. An L1-convergence theorem for heterogeneous mixingale arrays with trending moments
    Statistics & Probability Letters, 1993, 16, (4), 301-304 View citations (8)
33. The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case
    Econometric Theory, 1993, 9, (3), 402-412 View citations (15)

1992

34. A Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes
    Econometric Theory, 1992, 8, (3), 313-329 View citations (22)

1991

35. Cointegration in Recursive Systems
    Economic Journal, 1991, 101, (405), 239-51 View citations (23)

1990

36. 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 View citations (2)
    Also in Proceedings, 1990, 349-385 (1990) View citations (2)
37. 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

1987

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

1985

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

1981

40. Interpreting econometric evidence: The behaviour of consumers' expenditure in the UK
    European Economic Review, 1981, 16, (1), 177-192 View citations (41)
41. Problems with the estimation of moving average processes
    Journal of Econometrics, 1981, 16, (3), 295-310 View citations (14)

1978

42. Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom
    Economic Journal, 1978, 88, (352), 661-92 View citations (527)

Books

1994

1. Stochastic Limit Theory: An Introduction for Econometricians
   OUP Catalogue, Oxford University Press View citations (492)