James Davidson

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