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James Davidson
James Davidson
Professor of Econometrics, University of Exeter
Verified email at exeter.ac.uk
Title
Cited by
Cited by
Year
Econometric modelling of the aggregate time-series relationship between consumers' expenditure and income in the United Kingdom
JEH Davidson, DF Hendry, F Srba, S Yeo
The Economic Journal, 661-692, 1978
22491978
Stochastic limit theory: An introduction for econometricians
J Davidson
OUP Oxford, 1994
17831994
Moment and memory properties of linear conditional heteroscedasticity models, and a new model
J Davidson
Journal of Business & Economic Statistics 22 (1), 16-29, 2004
4842004
Econometric theory
J Davidson
John Wiley & Sons, 2000
4092000
Consistency of kernel estimators of heteroscedastic and autocorrelated covariance matrices
RM De Jong, J Davidson
Econometrica 68 (2), 407-423, 2000
1992000
Interpreting econometric evidence: the behaviour of consumers' expenditure in the UK
JEH Davidson, DF Hendry
European Economic Review 16 (1), 177-192, 1981
1941981
The functional central limit theorem and weak convergence to stochastic integrals II: fractionally integrated processes
J Davidson, RM De Jong
Econometric Theory 16 (5), 643-666, 2000
147*2000
The functional central limit theorem and weak convergence to stochastic integrals I: weakly dependent processes
RM De Jong, J Davidson
Econometric Theory 16 (5), 621-642, 2000
1182000
Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes
J Davidson
Journal of Econometrics 106 (2), 243-269, 2002
1152002
Structural relations, cointegration and identification: some simple results and their application
J Davidson
Journal of econometrics 87 (1), 87-113, 1998
1031998
A model of fractional cointegration, and tests for cointegration using the bootstrap
J Davidson
Journal of Econometrics 110 (2), 187-212, 2002
902002
Stochastic limit theory. Advanced texts in econometrics
J Davidson
Oxford University Press, 1994
871994
Generating schemes for long memory processes: regimes, aggregation and linearity
J Davidson, P Sibbertsen
Journal of econometrics 128 (2), 253-282, 2005
772005
Modelling political popularity: an analysis of long‐range dependence in opinion poll series
D Byers, J Davidson, D Peel
Journal of the Royal Statistical Society: Series A (Statistics in Society …, 1997
731997
Type I and type II fractional Brownian motions: A reconsideration
J Davidson, N Hashimzade
Computational Statistics & Data Analysis 53 (6), 2089-2106, 2009
682009
Regression diagnostics: identifying influential data and sources of collinearity
J Davidson
Economica 48 (192), 428-428, 1981
671981
A central limit theorem for globally nonstationary near-epoch dependent functions of mixing processes
J Davidson
Econometric theory 8 (3), 313-329, 1992
641992
Problems with the estimation of moving average processes
JEH Davidson
Journal of Econometrics 16 (3), 295-310, 1981
611981
Implementing the wild bootstrap using a two-point distribution
J Davidson, A Monticini, D Peel
Economics Letters 96 (3), 309-315, 2007
602007
Cointegration in recursive systems
J Davidson, S Hall
The Economic Journal 101 (405), 239-251, 1991
551991
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