Information about:
James E. H. Davidson

Other registered authors

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

Affiliation

• School of Business and Economics
  University of Exeter

  Location: Exeter, United Kingdom
  Homepage: http://www.ex.ac.uk/sobe/
  Email:
  Phone: (01392) 263218
  Fax: (01392) 263242
  Postal: Streatham Court, Rennes Drive, Exeter EX4 4PU
  Handle: RePEc:edi:deexeuk (registered authors at this institution)

Lists

1. Number of Journal Pages
2. Number of Journal Pages, Weighted by Simple Impact Factor
3. Number of Journal Pages, Weighted by Number of Authors
4. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
5. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors

Working papers

1. 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. [Downloadable!]

2. Davidson, James & Sibbertsen, Philipp, 2005. "Tests of Bias in Log-Periodogram Regression," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-317, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
   Published as:
   • Davidson, James & Sibbertsen, Philipp, 2009. "Tests of bias in log-periodogram regression," Economics Letters, Elsevier, vol. 102(2), pages 83-86, February. [Downloadable!] (restricted)

3. J Davidson & David Peel & David Byers, 2005. "The long memory model of political support: some further results," Working Papers 003057, Lancaster University Management School, Economics Department. [Downloadable!]
   Published as:
   • David Byers & James Davidson & David Peel, 2007. "The long memory model of political support: some further results," Applied Economics, Taylor and Francis Journals, vol. 39(20), pages 2547-2552. [Downloadable!] (restricted)

4. 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. [Downloadable!]

5. Jong, R.M. de & Davidson, J., 1996. "Consistency of kernel estimators of heteroscedastic and autocorrelated covariance matrices," Discussion Paper 52, Tilburg University, Center for Economic Research. [Downloadable!]
   Published as:
   • 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.

1. 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. [Downloadable!] (restricted)

2. Davidson, James & Sibbertsen, Philipp, 2009. "Tests of bias in log-periodogram regression," Economics Letters, Elsevier, vol. 102(2), pages 83-86, February. [Downloadable!] (restricted)
   Other versions:
   • Davidson, James & Sibbertsen, Philipp, 2005. "Tests of Bias in Log-Periodogram Regression," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-317, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]

3. 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. [Downloadable!]

4. 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. [Downloadable!]

5. David Byers & James Davidson & David Peel, 2007. "The long memory model of political support: some further results," Applied Economics, Taylor and Francis Journals, vol. 39(20), pages 2547-2552. [Downloadable!] (restricted)
   Other versions:
   • J Davidson & David Peel & David Byers, 2005. "The long memory model of political support: some further results," Working Papers 003057, Lancaster University Management School, Economics Department. [Downloadable!]

6. 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. [Downloadable!] (restricted)

7. James Davidson, 2007. "A Review of: "Book Review: Mathematical and Statistical Foundations"," Econometric Reviews, Taylor and Francis Journals, vol. 26(5), pages 605-607. [Downloadable!] (restricted)

8. Davidson, James, 2006. "Alternative bootstrap procedures for testing cointegration in fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 741-777, August. [Downloadable!] (restricted)

9. 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. [Downloadable!] (restricted)

10. 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.

11. Davidson, James, 2004. "Forecasting Markov-switching dynamic, conditionally heteroscedastic processes," Statistics & Probability Letters, Elsevier, vol. 68(2), pages 137-147, June. [Downloadable!] (restricted)

12. 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. [Downloadable!] (restricted)

13. 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. [Downloadable!] (restricted)

14. 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. [Downloadable!] (restricted)

15. 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. [Downloadable!] (restricted)

16. 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. [Downloadable!] (restricted)

17. Davidson, James & Terasvirta, Timo, 2002. "Long memory and nonlinear time series," Journal of Econometrics, Elsevier, vol. 110(2), pages 105-112, October. [Downloadable!] (restricted)

18. 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. [Downloadable!] (restricted)

19. 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. [Downloadable!]
    Published as:
    • de Jong, Robert M. & Davidson, James, 2000. "The Functional Central Limit Theorem And Weak Convergence To Stochastic Integrals I," Econometric Theory, Cambridge University Press, vol. 16(05), pages 621-642, October. [Downloadable!]

20. 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.
    Other versions:
    • Jong, R.M. de & Davidson, J., 1996. "Consistency of kernel estimators of heteroscedastic and autocorrelated covariance matrices," Discussion Paper 52, Tilburg University, Center for Economic Research. [Downloadable!]

21. 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. [Downloadable!] (restricted)

22. 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. [Downloadable!] (restricted)

23. 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. [Downloadable!] (restricted)

24. 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 and Francis Journals, vol. 16(3), pages 251-279. [Downloadable!] (restricted)

25. 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. [Downloadable!] (restricted)

26. 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.

27. 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. [Downloadable!] (restricted)

28. 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. [Downloadable!]

29. 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. [Downloadable!] (restricted)

30. Davidson, James & Hall, Stephen, 1991. "Cointegration in Recursive Systems," Economic Journal, Royal Economic Society, vol. 101(405), pages 239-51, March. [Downloadable!] (restricted)

31. 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. [Downloadable!] (restricted)

32. 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.
    Published as:
    • Davidson, James & Ireland, Jonathan, 1990. "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, Elsevier, vol. 12(2), pages 349-376. [Downloadable!] (restricted)

33. Davidson, James, 1985. "FIML estimation of models with multiple regimes and covariance restrictions," Economics Letters, Elsevier, vol. 18(1), pages 27-30. [Downloadable!] (restricted)

34. Davidson, James E H, 1985. "Econometric Modelling of the Sterling Effective Exchange Rate," Review of Economic Studies, Blackwell Publishing, vol. 52(2), pages 231-50, April. [Downloadable!] (restricted)

35. Davidson, James E. H., 1981. "Problems with the estimation of moving average processes," Journal of Econometrics, Elsevier, vol. 16(3), pages 295-310, August. [Downloadable!] (restricted)

36. 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. [Downloadable!] (restricted)

37. 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. [Downloadable!] (restricted)

38. RePEc:cup:etheor:v:24:y:2007:i:01:p:256-293_08 is not listed on IDEAS

39. RePEc:bep:sndecm:10:2006:1:1345-1345 is not listed on IDEAS

40. RePEc:cup:etheor:v:24:y:2007:i:01:p:256-293 is not listed on IDEAS

1. NEP-ECM: Econometrics (2) 2005-07-11 2008-06-27 Author is listed
2. NEP-ETS: Econometric Time Series (1) 2008-06-27 Author is listed

This page was last updated on 2009-11-23.