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James E. H. Davidson

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Personal Details

First Name: James
Middle Name: E. H.
Last Name: Davidson
Suffix:

RePEc Short-ID: pda34

Email:
Homepage: http://www.ex.ac.uk/~jehd201/
Postal Address: University of Exeter School of Business and Economics Exeter EX4 4PU
Phone:

Affiliation

Business School
University of Exeter
Location: Exeter, United Kingdom
Homepage: http://business-school.exeter.ac.uk/
Email:
Phone: (01392) 263218
Fax: (01392) 263242
Postal: Streatham Court, Rennes Drive, Exeter EX4 4PU
Handle: RePEc:edi:deexeuk (more details at EDIRC)

Works

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Working papers

  1. James Davidson & Andreea G. Halunga, 2013. "Consistent Model Specification Testing," Discussion Papers 1312, Exeter University, Department of Economics.
  2. Davidson, James & Meenagh, David & Minford, Patrick & Wickens, Michael, 2010. "Why crises happen - nonstationary macroeconomics," Cardiff Economics Working Papers E2010/13, Cardiff University, Cardiff Business School, Economics Section.
  3. James Davidson & Nigar Hashimzade, 2008. "Type I and Type II Fractional Brownian Motions: a Reconsideration," Discussion Papers 0816, Exeter University, Department of Economics.
  4. James Davidson, 2008. "When is a Time Series I(0)?," Discussion Papers 0811, Exeter University, Department of Economics.
  5. James Davidson & Nigar Hashimzade, 2007. "Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes," CREATES Research Papers 2007-45, School of Economics and Management, University of Aarhus.
  6. James Davidson & Andrea Monticini, 2007. "Tests for Cointegration with Structural Breaks Based on Subsamples," Discussion Papers 0704, Exeter University, Department of Economics.
  7. Davidson, James & Sibbertsen, Philipp, 2005. "Tests of Bias in Log-Periodogram Regression," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-317, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  8. D Byers & J Davidson & D Peel, 2005. "The long memory model of political support: some further results," Working Papers 574090, Lancaster University Management School, Economics Department.
  9. Davidson, James & Sibbertsen, Philipp, 2002. "Generating schemes for long memory processes: Regimes, aggregation and linearity," Technical Reports 2002,46, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  10. James Davidson, 2000. "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 0324, Econometric Society.
  11. Jong, R.M. de & Davidson, J., 1996. "Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices," Discussion Paper 1996-52, Tilburg University, Center for Economic Research.
  12. James Davidson, 1993. "The Multivariate Invariance Principle for Globally Nonstationary Processes, with an Application to I(2) Models," STICERD - Econometrics Paper Series /1993/262, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  13. James Davidson, 1992. "Conditions for Strong and Uniform Mixing in Linear Processes," STICERD - Econometrics Paper Series /1992/251, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  14. James Davidson, 1992. "An L1-Convergence Theorem for Heterogeneous Mixingale Arrays with Trending Moments (Now published in Statistics & Probability Letters 16 (1993), pp.301-304.)," STICERD - Econometrics Paper Series /1992/242, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  15. James Davidson, 1992. "The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case (Now published in Economic Theory 9 (1993), pp.402-412.)," STICERD - Econometrics Paper Series /1992/243, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  16. James Davidson, 1990. "Central Limit Theorems for Nonstationary Mixing Processes and Near-Epoch Dependent Functions (Now published in Economic Theory, vol.8, no.3 (1992).)," STICERD - Econometrics Paper Series /1990/216, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.

Articles

  1. James Davidson, 2010. "“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, Springer, vol. 21(1), pages 45-47, February.
  2. Davidson, James & Monticini, Andrea, 2010. "Tests for cointegration with structural breaks based on subsamples," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2498-2511, November.
  3. Davidson, James & Hashimzade, Nigar, 2009. "Representation And Weak Convergence Of Stochastic Integrals With Fractional Integrator Processes," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1589-1624, December.
  4. Davidson, James & Sibbertsen, Philipp, 2009. "Tests of bias in log-periodogram regression," Economics Letters, Elsevier, vol. 102(2), pages 83-86, February.
  5. Davidson, James & Hashimzade, Nigar, 2009. "Type I and type II fractional Brownian motions: A reconsideration," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2089-2106, April.
  6. Davidson, James & Magnus, Jan R. & Wiegerinck, Jan, 2008. "Notes And Problems A General Bound For The Limiting Distribution Of Breitung'S Statistic," Econometric Theory, Cambridge University Press, vol. 24(05), pages 1443-1455, October.
  7. Davidson, James & Hashimzade, Nigar, 2008. "Alternative Frequency And Time Domain Versions Of Fractional Brownian Motion," Econometric Theory, Cambridge University Press, vol. 24(01), pages 256-293, February.
  8. James Davidson, 2007. "A Review of: “Book Review: Mathematical and Statistical Foundations”," Econometric Reviews, Taylor & Francis Journals, vol. 26(5), pages 605-607.
  9. Davidson, James & Monticini, Andrea & Peel, David, 2007. "Implementing the wild bootstrap using a two-point distribution," Economics Letters, Elsevier, vol. 96(3), pages 309-315, September.
  10. David Byers & James Davidson & David Peel, 2007. "The long memory model of political support: some further results," Applied Economics, Taylor & Francis Journals, vol. 39(20), pages 2547-2552.
  11. Davidson James E. H. & Peel David A & Byers J. David, 2006. "Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(1), pages 1-23, March.
  12. Davidson, James, 2006. "Alternative bootstrap procedures for testing cointegration in fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 741-777, August.
  13. Davidson, James & Sibbertsen, Philipp, 2005. "Generating schemes for long memory processes: regimes, aggregation and linearity," Journal of Econometrics, Elsevier, vol. 128(2), pages 253-282, October.
  14. Davidson, James, 2004. "Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 16-29, January.
  15. Davidson, James, 2004. "Forecasting Markov-switching dynamic, conditionally heteroscedastic processes," Statistics & Probability Letters, Elsevier, vol. 68(2), pages 137-147, June.
  16. Davidson, James, 2002. "Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 243-269, February.
  17. Davidson, James, 2002. "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, Elsevier, vol. 110(1), pages 103-104, September.
  18. Davidson, James, 2002. "A model of fractional cointegration, and tests for cointegration using the bootstrap," Journal of Econometrics, Elsevier, vol. 110(2), pages 187-212, October.
  19. Davidson, James & Terasvirta, Timo, 2002. "Long memory and nonlinear time series," Journal of Econometrics, Elsevier, vol. 110(2), pages 105-112, October.
  20. David Byers & James Davidson & David Peel, 2002. "Modelling political popularity: a correction," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 165(1), pages 187-189.
  21. James Davidson & Robert M. De Jong, 2002. "Consistency of kernel variance estimators for sums of semiparametric linear processes," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 160-175, June.
  22. Davidson, James, 2001. "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, Elsevier, vol. 17(2), pages 302-303.
  23. Robert M. De Jong & James Davidson, 2000. "Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices," Econometrica, Econometric Society, vol. 68(2), pages 407-424, March.
  24. Davidson, James & de Jong, Robert M., 2000. "The Functional Central Limit Theorem And Weak Convergence To Stochastic Integrals Ii," Econometric Theory, Cambridge University Press, vol. 16(05), pages 643-666, October.
  25. Davidson, James, 1998. "Structural relations, cointegration and identification: some simple results and their application," Journal of Econometrics, Elsevier, vol. 87(1), pages 87-113, August.
  26. Davidson, James, 1998. "A Wald test of restrictions on the cointegrating space based on Johansen's estimator," Economics Letters, Elsevier, vol. 59(2), pages 183-187, May.
  27. Peel, David & Davidson, James, 1998. "A non-linear error correction mechanism based on the bilinear model1," Economics Letters, Elsevier, vol. 58(2), pages 165-170, February.
  28. James Davidson & Robert de Jong, 1997. "Strong laws of large numbers for dependent heterogeneous processes: a synthesis of recent and new results," Econometric Reviews, Taylor & Francis Journals, vol. 16(3), pages 251-279.
  29. David Byers & James Davidson & David Peel, 1997. "Modelling Political Popularity: an Analysis of Long-range Dependence in Opinion Poll Series," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 160(3), pages 471-490.
  30. Davidson, James, 1994. "Identifying Cointegrating Regressions by the Rank Condition," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(1), pages 105-10, February.
  31. Davidson, J & Madonia, G & Westaway, Peter, 1994. "Modelling the UK Gilt-Edged Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(3), pages 231-53, July-Sept.
  32. Davidson, James, 1993. "The Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes: The Asymptotically Degenerate Case," Econometric Theory, Cambridge University Press, vol. 9(03), pages 402-412, June.
  33. Davidson, James, 1993. "An L1-convergence theorem for heterogeneous mixingale arrays with trending moments," Statistics & Probability Letters, Elsevier, vol. 16(4), pages 301-304, March.
  34. Davidson, James, 1992. "A Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes," Econometric Theory, Cambridge University Press, vol. 8(03), pages 313-329, September.
  35. Davidson, James & Hall, Stephen, 1991. "Cointegration in Recursive Systems," Economic Journal, Royal Economic Society, vol. 101(405), pages 239-51, March.
  36. Davidson, James & Ireland, Jonathan, 1990. "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, Elsevier, vol. 12(2), pages 383-385.
  37. James Davidson & Jonathan Ireland, 1990. "Buffer stocks, credit, and aggregation effects in the demand for broad money: theory and an application to the U.K. personal sector," Proceedings, Federal Reserve Bank of Cleveland, pages 349-385.
  38. James Davidson & Jonathan Ireland, 1987. "Buffer Stock Models of the Monetary Sector," National Institute Economic Review, National Institute of Economic and Social Research, vol. 121(1), pages 67-71, August.
  39. Davidson, James E H, 1985. "Econometric Modelling of the Sterling Effective Exchange Rate," Review of Economic Studies, Wiley Blackwell, vol. 52(2), pages 231-50, April.
  40. Davidson, James, 1985. "FIML estimation of models with multiple regimes and covariance restrictions," Economics Letters, Elsevier, vol. 18(1), pages 27-30.
  41. Davidson, James E. H. & Hendry, David F., 1981. "Interpreting econometric evidence : The behaviour of consumers' expenditure in the UK," European Economic Review, Elsevier, vol. 16(1), pages 177-192.
  42. Davidson, James E. H., 1981. "Problems with the estimation of moving average processes," Journal of Econometrics, Elsevier, vol. 16(3), pages 295-310, August.
  43. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-92, December.

Books

  1. Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037.

NEP Fields

4 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2010-12-04. Author is listed
  2. NEP-BEC: Business Economics (1) 2010-12-04. Author is listed
  3. NEP-CBA: Central Banking (1) 2010-12-04. Author is listed
  4. NEP-DCM: Discrete Choice Models (1) 2013-11-29. Author is listed
  5. NEP-DGE: Dynamic General Equilibrium (1) 2010-12-04. Author is listed
  6. NEP-ECM: Econometrics (3) 2005-07-11 2008-06-27 2013-11-29. Author is listed
  7. NEP-ETS: Econometric Time Series (1) 2008-06-27. Author is listed
  8. NEP-MAC: Macroeconomics (1) 2010-12-04. Author is listed

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