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James Davidson

Personal Details

First Name:James
Middle Name:E. H.
Last Name:Davidson
Suffix:
RePEc Short-ID:pda34
http://www.ex.ac.uk/~jehd201/
University of Exeter School of Business and Economics Exeter EX4 4PU
Terminal Degree:1975 Economics Department; London School of Economics (LSE) (from RePEc Genealogy)

Affiliation

Business School
University of Exeter

Exeter, United Kingdom
http://business-school.exeter.ac.uk/
RePEc:edi:deexeuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. James Davidson & Andreea G. Halunga, 2013. "Consistent Model Specification Testing," Discussion Papers 1312, University of Exeter, 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, University of Exeter, Department of Economics.
  4. James Davidson, 2008. "When is a Time Series I(0)?," Discussion Papers 0811, University of Exeter, Department of Economics.
  5. James Davidson & Andrea Monticini, 2007. "Tests for Cointegration with Structural Breaks Based on Subsamples," Discussion Papers 0704, University of Exeter, Department of Economics.
  6. James Davidson & Nigar Hashimzade, 2007. "Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes," CREATES Research Papers 2007-45, Department of Economics and Business Economics, Aarhus University.
  7. Davidson, James & Sibbertsen, Philipp, 2005. "Tests of Bias in Log-Periodogram Regression," Hannover Economic Papers (HEP) 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.

Articles

  1. 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.
  2. 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.
  3. 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.
  4. Davidson, James & Hashimzade, Nigar, 2009. "Representation And Weak Convergence Of Stochastic Integrals With Fractional Integrator Processes," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1589-1624, December.
  5. Davidson, James & Sibbertsen, Philipp, 2009. "Tests of bias in log-periodogram regression," Economics Letters, Elsevier, vol. 102(2), pages 83-86, February.
  6. Davidson, James & Hashimzade, Nigar, 2008. "Alternative Frequency And Time Domain Versions Of Fractional Brownian Motion," Econometric Theory, Cambridge University Press, vol. 24(1), pages 256-293, February.
  7. 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(5), pages 1443-1455, October.
  8. 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.
  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. James Davidson, 2007. "A Review of: “Book Review: Mathematical and Statistical Foundations”," Econometric Reviews, Taylor & Francis Journals, vol. 26(5), pages 605-607.
  11. Davidson, James, 2006. "Alternative bootstrap procedures for testing cointegration in fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 741-777, August.
  12. 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.
  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. 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, 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. 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.
  20. 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.
  21. Davidson, James & Terasvirta, Timo, 2002. "Long memory and nonlinear time series," Journal of Econometrics, Elsevier, vol. 110(2), pages 105-112, October.
  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. 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(5), pages 643-666, October.
  24. 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.
  25. 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.
  26. 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.
  27. 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.
  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, September.
  30. 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 231-253, July-Sept.
  31. 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 105-110, February.
  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(3), 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(3), pages 313-329, September.
  35. Davidson, James & Hall, Stephen, 1991. "Cointegration in Recursive Systems," Economic Journal, Royal Economic Society, vol. 101(405), pages 239-251, 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, 1985. "FIML estimation of models with multiple regimes and covariance restrictions," Economics Letters, Elsevier, vol. 18(1), pages 27-30.
  40. Davidson, James E. H., 1981. "Problems with the estimation of moving average processes," Journal of Econometrics, Elsevier, vol. 16(3), pages 295-310, August.
  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, 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 661-692, December.

Books

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

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
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  2. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  3. Number of Citations
  4. Number of Citations, Weighted by Simple Impact Factor
  5. Number of Citations, Weighted by Recursive Impact Factor
  6. Number of Citations, Weighted by Number of Authors
  7. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
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  10. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
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  16. Number of Journal Pages, Weighted by Number of Authors
  17. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  18. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  19. Euclidian citation score
  20. Breadth of citations across fields
  21. Record of graduates

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (3) 2005-07-11 2008-06-27 2013-11-29
  2. NEP-BAN: Banking (1) 2010-12-04
  3. NEP-BEC: Business Economics (1) 2010-12-04
  4. NEP-CBA: Central Banking (1) 2010-12-04
  5. NEP-DCM: Discrete Choice Models (1) 2013-11-29
  6. NEP-DGE: Dynamic General Equilibrium (1) 2010-12-04
  7. NEP-ETS: Econometric Time Series (1) 2008-06-27
  8. NEP-MAC: Macroeconomics (1) 2010-12-04

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