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 | 2249 | 1978 |

Stochastic limit theory: An introduction for econometricians J Davidson OUP Oxford, 1994 | 1783 | 1994 |

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 | 484 | 2004 |

Econometric theory J Davidson John Wiley & Sons, 2000 | 409 | 2000 |

Consistency of kernel estimators of heteroscedastic and autocorrelated covariance matrices RM De Jong, J Davidson Econometrica 68 (2), 407-423, 2000 | 199 | 2000 |

Interpreting econometric evidence: the behaviour of consumers' expenditure in the UK JEH Davidson, DF Hendry European Economic Review 16 (1), 177-192, 1981 | 194 | 1981 |

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 | 118 | 2000 |

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 | 115 | 2002 |

Structural relations, cointegration and identification: some simple results and their application J Davidson Journal of econometrics 87 (1), 87-113, 1998 | 103 | 1998 |

A model of fractional cointegration, and tests for cointegration using the bootstrap J Davidson Journal of Econometrics 110 (2), 187-212, 2002 | 90 | 2002 |

Stochastic limit theory. Advanced texts in econometrics J Davidson Oxford University Press, 1994 | 87 | 1994 |

Generating schemes for long memory processes: regimes, aggregation and linearity J Davidson, P Sibbertsen Journal of econometrics 128 (2), 253-282, 2005 | 77 | 2005 |

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 | 73 | 1997 |

Type I and type II fractional Brownian motions: A reconsideration J Davidson, N Hashimzade Computational Statistics & Data Analysis 53 (6), 2089-2106, 2009 | 68 | 2009 |

Regression diagnostics: identifying influential data and sources of collinearity J Davidson Economica 48 (192), 428-428, 1981 | 67 | 1981 |

A central limit theorem for globally nonstationary near-epoch dependent functions of mixing processes J Davidson Econometric theory 8 (3), 313-329, 1992 | 64 | 1992 |

Problems with the estimation of moving average processes JEH Davidson Journal of Econometrics 16 (3), 295-310, 1981 | 61 | 1981 |

Implementing the wild bootstrap using a two-point distribution J Davidson, A Monticini, D Peel Economics Letters 96 (3), 309-315, 2007 | 60 | 2007 |

Cointegration in recursive systems J Davidson, S Hall The Economic Journal 101 (405), 239-251, 1991 | 55 | 1991 |