James Davidson

James Davidson publication distribution in Economics and Finance in 2026

The chart shows the distribution of publications by all Research.com ranked scientists in the field of Economics and Finance in 2026. The highlighted bar marks where James Davidson sits on this spectrum.

James Davidson D-index placement in Economics and Finance in 2026

The chart shows the D-index (discipline H-index) distribution of Economics and Finance scientists ranked by Research.com in 2026. The highlighted bar marks where James Davidson sits on this spectrum.

Best Publications

• Stochastic limit theory : an introduction for econometricians

  James Davidson

  2969
  Citations

• Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom

  James E. H. Davidson;David F. Hendry;Frank Srba;Stephen Yeo

  2336
  Citations

• Stochastic Limit Theory

  James Davidson

  1645
  Citations

• Stochastic Limit Theory: An Introduction for Econometricians

  James Davidson

  1491
  Citations

• Long-Run Economic Relationships: Readings in Cointegration

  Robert Engle;Clive Granger

  883
  Citations

• Cointegration and error correction

  James Davidson

  804
  Citations

• A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models

  A. Ronald Gallant;Halbert White

  743
  Citations

• Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model

  James Davidson

  555
  Citations

• Analysis of Panel Data.

  James Davidson;Cheng Hsiao

  422
  Citations

• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices

  Robert M. de Jong;James Davidson

  228
  Citations

• Interpreting econometric evidence: The behaviour of consumers' expenditure in the UK☆

  James E.H. Davidson;David F. Hendry

  203
  Citations

• The functional central limit theorem and weak convergence to stochastic integrals II: fractionally integrated processes

  James Davidson;Robert M. de Jong

  148
  Citations

• The functional central limit theorem and weak convergence to stochastic integrals I: weakly dependent processes

  Robert M. de Jong;James Davidson

  143
  Citations

• Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes

  James Davidson

  134
  Citations

• Structural relations, cointegration and identification: some simple results and their application

  James Davidson

  114
  Citations

• A model of fractional cointegration, and tests for cointegration using the bootstrap☆

  James Davidson

  95
  Citations

• Generating Schemes for Long Memory Processes: Regimes, Aggregation and Linearity

  James Davidson;Philipp Sibbertsen

  95
  Citations

• Type I and type II fractional Brownian motions: A reconsideration

  James Davidson;Nigar Hashimzade

  78
  Citations

• A Central Limit Theorem for Globally Nonstationary Near-Epoch Dependent Functions of Mixing Processes

  James Davidson

  69
  Citations

• Modelling economic series : readings in econometric methodology

  C. W. J. Granger

  60
  Citations