James Davidson: Research

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Discussion Papers

  • "A Burkholder-type Inequality for Discrete Martingales", version of August 2020 

     
  • "A frequency domain wild bootstrap for dependent data" (with Rami Chehab)  Working paper, version of July 8th 2019.

    Supplementary Tables:
     

Publications since 1997:

  • "A new consistency proof for HAC variance estimators"
    Economics Letters 186, 108811 (January 2020)

     
  • "World Commodity Prices and Domestic Retail Food Inflation: Some Insights from the UK" (with Andreea Halunga, Tim Lloyd, Steve McCorriston and Wyn Morgan), Journal of Agricultural Economics 67, (2016) pp. 566–584

     
  • "Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes" (with Xiaoyu Li) , Journal of Empirical Finance 38B (2016), 534-547

     
  • "Time series modelling of paleoclimate data" (with David Stephenson and Alemtsehai Turasie), Environmetrics 27(1) (2016) 55-65
      
    Technical Supplement to     "Time Series Modelling of Paleoclimate Data":
    Here are the data used in the paper: DST Data.csv  DST Data Info.txt 

     
  • "A test of the long-memory hypothesis based on self-similarity" (with Dooruj Rambaccussing) Journal of Time Series Econometrics 7(2) (2015) 115-142.

     
  • "Consistent testing of functional form in time series models" (with Andreea Halunga), Chapter 2 of Essays in Nonlinear Time Series Econometrics, a festschrift for Timo Teräsvirta, eds. Niels Haldrup, Pentti Saikkonen and Mika Meitz (Oxford University Press, 2014).

     
  • "Cointegration and Error Correction":  Chapter 7 of Handbook of Empirical Methods in Macroeconomics,  eds M. Thornton and N. Hashimzade (Edward Elgar, 2013).
  • "Tests for cointegration with structural breaks based on subsamples" (with Andrea Monticini). Computational Statistics and Data Analysis 54 (11) (2010), 2498-2511.  

    "Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes", (with Nigar Hashimzade)  Econometric Theory 25 (6) (2009) 1589-1624

     
  • "When is a time series I(0)?". Chapter 13 of The Methodology and Practice of Econometrics, a festschrift for David F. Hendry edited by Jennifer Castle and Neil Shepherd, (Oxford University Press, 2009).

  • "Type I and type II fractional Brownian motions: a reconsideration" (with Nigar Hashimzade) Computational Statistics and Data Analysis 53(6) (2009) 2089-2106

    "Tests of Bias in Log-Periodogram Regression" (with Philipp Sibbertsen) Economics Letters 102 (2009), 83-86.

  • "A General Bound for the Limiting Distribution of Breitung's Statistic", (with Jan Magnus and Jan Wiegerinck) Econometric Theory, 24(5), (2008) pp 1443-1455

  • "Alternative Frequency and Time Domain Versions of Fractional Brownian Motion" (with Nigar Hashimzade) Econometric Theory (2008) 24(1), 256-293.

     
  • "The long memory model of political support: some further results" (With David Byers and David Peel) Applied Economics (2007) 29(20) 2547-2552

     
  • "Implementing the wild bootstrap using a two-point distribution", with Andrea Monticini and David Peel. Economics Letters (2007) 96 (3)
    309-315.

  • "Alternative bootstrap procedures for testing cointegration in fractionally integrated processes" Journal of Econometrics (2006) 133 (2) 741-777


  • "Asymptotic Methods and Functional Central Limit Theorems".
    Chapter 5 of for Palgrave Handbooks of Econometrics: Vol. 1 Econometric Theory.
      Erratum: see correction to equation (2.4) of published version.

     
  • "Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004." (with David Byers and David Peel) Studies in Nonlinear Dynamic and Econometrics 10.1 (2006)


  • "Generating schemes for long memory processes: regimes, aggregation and linearity" (with Philipp Sibbertsen) Journal of Econometrics (2005) 128 (2) 253-282


  • "Testing for fractional cointegration: the relationship between government popularity and economic performance in the UK"
    UK." in  New Trends in Macroeconomics, eds. C. Diebolt and C. Kyrtsou, Springer Verlag (2005)


  • "Forecasting Markov-switching dynamic, conditionally heteroscedastic processes", Statistics and Probability Letters (2004) 68(2) 137-147


  • "Moment and memory properties of linear conditional heteroscedasticity models, and a new model"   Journal of Business and Economics Statistics (2004)  22 (1), pp 16-29.
  • "A model of fractional cointegration, and tests for cointegration using the bootstrap"  Journal of Econometrics (2002) 110(2) pp187-212.

     
  • "Long memory and nonlinear time series" (JoE Special Issue Introduction, with Timo Teräsvirta),Journal of Econometrics (2002) 110(2), pp105-112


  • "Consistency of kernel variance estimators for sums of semiparametric linear processes" (with Robert de Jong) Econometrics Journal (2002) 5(1) pp 160-175.


  • "Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes"  Journal of Econometrics 106 (2002) 243-269.
    Please see also the following Corrigendum to Section 2.4, Journal of Econometrics 110(1) 103-104.
  • "Modelling political popularity: a correction" (with David Byers and David Peel) Journal of the Royal Statistical Society A (2002) 165, Part 1 pp 187-189.

  • "The functional central limit theorem and weak convergence to stochastic integrals I: weakly dependent processes" (with Robert de Jong, Michigan State University), Econometric Theory 16, 5 (2000) 621-642.


     
  • "The functional central limit theorem and weak convergence to stochastic integrals II: fractionally integrated processes" (with Robert de Jong, Michigan State University),. Econometric Theory 16, 5 (2000) 643-666
    Please see also the following addendum, clarifying the proof of Theorem 3.1.
     

·         "Consistency of kernel estimators of heteroscedastic and autocorrelated covariance matrices" (with Robert de Jong, Michigan State University). Econometrica 68,2 (2000), 407-424

 

·         "The dynamics of aggregate political popularity: evidence from eight countries" (with David Byers and David Peel) Electoral Studies 19,1 (1999) 49-62

 

·         "Structural relations, cointegration and identification: some simple results and their application", Journal of Econometrics 87 (1998), 87-113.

For Journal of Econometrics website download rankings of this paper,  see this page.
This file contains Section 2.4 of the 1996 working paper, which was cut from the published version of the paper.  
To download the GAUSS source code for the MINIMAL package click here.

·         "A Wald test of restrictions on the cointegrating space based on Johansen's estimator", Economics Letters 59,2 (1998) 183-187


·         "A nonlinear error correction mechanism based on the bilinear model" (with David Peel, Cardiff Business School), Economics Letters. 58, 2 (February 1998) 165-170.


  • "Modelling political popularity: an analysis of long range dependence in opinion poll series" (with David Byers and David Peel, Cardiff Business School), Journal of the Royal Statistical Society Series A, 160, 3 (1997), 471-90

    Click here to download the data set used in this study.
  • "Strong laws of large numbers for dependent and heterogeneous processes: a synthesis of new and recent results" (with Robert de Jong, Michigan State University), Econometric Reviews 16,3 (1997) 251-79.

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The following are scans of two old papers that are now hard to obtain, and have been requested by readers. 

  • "Disequilibrium money: some further results with a monetary model of the UK"  Chapter 6 of  The Operation and Regulation of Financial Markets eds. Goodhart Currie and Llewellyn, Macmillan 1987


  • Buffer stock models of the monetary sector" (with Jonathan Ireland), National Institute Economic Review 121, August 1987, 67-71

 

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