# Professor James Davidson

## Professor of Econometrics

**4517**

**+44 (0) 1392 724517**

**1.34Streatham Court, University of Exeter, Rennes Drive, Exeter, EX4 4PU, UK
**

Professor James Davidson holds the degrees of BSocSc from the University of Birmingham (1973) and MSc (Econ) from the London School of Economics (1975). Before moving to Exeter in 2004, he held teaching posts at the University of Warwick, the London School of Economics, the University of Wales Aberystwyth and Cardiff University. He has also held visiting positions at the University of California Berkeley, The University of California San Diego, and Central European University, Budapest.

### Administrative responsibilities

- Director of Economics postgraduate research

### Qualifications

- BSocSc (Birmingham), MSc (LSE)

### Links

## Research

### Research interests

- Econometric theory
- Econometric software development

Professor Davidson is interested in all aspects of econometric time series analysis, asymptotic theory, and bootstrap methods in time series. His recent research has been largely concerned with long memory models and fractional integration. His Time Series Modelling (TSM) program is widely used for teaching at Exeter. While developed primarily as a tool for econometrics research, TSM is also used for data analysis by students and practitioners worldwide.

### Research projects

Professor Davidson currently holds an ESRC award, with Andreea Halunga, for research into specification testing in non-linear time series models.

Key publications | Publications by category | Publications by year

### Key publications

**Davidson JEH, Hashimzade N**(2009). Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes.

*Econometric Theory*,

*25*(6), 1589-1624. Abstract. Author URL. Full text.

**Davidson JEH, Hashimzade N**(2009). Type I and type II fractional Brownian motions: a reconsideration.

*Computational Statistics and Data Analysis*,

*53*(6), 2089-2106. Abstract. Full text.

### Publications by category

### Journal articles

**Davidson JEH, Halunga AG, Lloyd R, McCorriston S, Morgan W**(In Press). World Commodity Prices and Domestic Retail Food Inflation: Some Insights from the UK.

*Journal of Agricultural Economics*Abstract. Full text.

**Davidson JEH, Stephenson DB, Turasie AA**(2016). Time series modeling of paleoclimate data.

*Environmetrics*,

*27*(1), 55-65. Abstract.

**Davidson JEH, Rambaccussing D**(2015). A test of the long memory hypothesis based on self-similarity.

*Journal of Time Series Econometrics*,

*7*(2), 115-142. Abstract. Full text.

**Davidson J, Li X**(2014). Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes.

*Journal of Empirical Finance*Abstract. Full text.

**Davidson JEH, Monticini A**(2010). Tests for cointegration with structural breaks based on subsamples.

*Computational Statistics and Data Analysis*,

*54*(11), 2498-2511. Abstract.

**Davidson JEH, Hashimzade N**(2009). Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes.

*Econometric Theory*,

*25*(6), 1589-1624. Abstract. Author URL. Full text.

**Davidson JEH, Sibbertsen P**(2009). Tests of Bias in Log-Periodogram Regression.

*Economics Letters*,

*102*, 83-86. Abstract. Author URL.

**Davidson JEH, Hashimzade N**(2009). Type I and type II fractional Brownian motions: a reconsideration.

*Computational Statistics and Data Analysis*,

*53*(6), 2089-2106. Abstract. Full text.

**Davidson JEH, Magnus JR, Wiegerinck J**(2008). A General Bound for the Limiting Distribution of Breitung's Statistic.

*Econometric Theory*,

*24*(5), 1443-1455. Abstract. Full text.

**Davidson JEH, Hashimzade N**(2008). Alternative Frequency and Time Domain Versions of Fractional Brownian Motion.

*Econometric Theory*,

*24*(1), 256-293. Abstract. Full text.

**Davidson JEH, Peel DA, Monticini A**(2007). Implementing the wild bootstrap using a two-point distribution.

*Economics Letters*,

*96*(3), 309-315. Abstract. Full text.

**Byers JD, Davidson JEH, Peel DA**(2007). The long memory model of political support: some further results.

*Applied Economics*,

*29*(20), 2547-2552. Abstract. Full text.

**Davidson JEH**(2006). Alternative bootstrap procedures for testing cointegration in fractionally integrated processes.

*Journal of Econometrics*,

*133*(2), 741-777. Full text.

**JEH D, Peel DA, Byers JD**(2006). Support for governments and leaders: Fractional cointegration analysis of poll evidence from the UK, 1960-2004.

*Studies in Nonlinear Dynamic and Econometrics*,

*10*(1). Abstract.

**Davidson JEH, Sibbersten P**(2005). Generating schemes for long memory processes: regimes, aggregation and linearity.

*Journal of Econometrics*,

*128*(2), 253-282. Full text.

**Davidson J**(2004). Forecasting Markov-switching dynamic, conditionally heteroscedastic processes.

*Statistics and Probability Letters*,

*68*(2), 137-147. Full text.

**Davidson JEH**(2004). Moment and memory properties of linear conditional heteroscedasticity models, and a new model.

*Journal of Business & Economic Statistics*,

*22*(1), 16-29. Full text.

**Davidson, J.**(2002). A model of fractional cointegration, and tests for cointegration using the bootstrap.

*Journal of Econometrics*,

*110*(2), 187-212. Full text.

**Davidson JEH**(2002). Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.

*Journal of Econometrics*,

*106*(2), 243-269. Full text.

**Davidson JEH, Terasvirta T**(2002). Long memory and nonlinear time series.

*Journal of Econometrics*,

*110*(2), 105-112. Full text.

### Chapters

**Halunga AG, Davidson, J**(2014). Consistent Testing of Functional Form in Time Series Models. In Niels Haldrup, Mika Meitz, Pentti Saikkonen (Eds.)

*Essays in Nonlinear Time Series Econometrics*, Oxford University Press. Full text.

**Davidson JEH**(2013). Cointegration and Error Correction. In Hashimzade N, Thornton M (Eds.)

*Handbook of Empirical Methods in Macroeconomics*, Cheltenham: Edward Elgar, 165-188. Full text.

**Davidson JEH**(2009). When is a time series I(0)?. In Castle J, Shephard N (Eds.)

*The Methodology and Practice of Econometrics*, Oxford, New York: Oxford, 322-342. Abstract. Author URL.

### Publications by year

### In Press

**Davidson JEH, Halunga AG, Lloyd R, McCorriston S, Morgan W**(In Press). World Commodity Prices and Domestic Retail Food Inflation: Some Insights from the UK.

*Journal of Agricultural Economics*Abstract. Full text.

### 2016

**Davidson JEH, Stephenson DB, Turasie AA**(2016). Time series modeling of paleoclimate data.

*Environmetrics*,

*27*(1), 55-65. Abstract.

### 2015

**Davidson JEH, Rambaccussing D**(2015). A test of the long memory hypothesis based on self-similarity.

*Journal of Time Series Econometrics*,

*7*(2), 115-142. Abstract. Full text.

### 2014

**Halunga AG, Davidson, J**(2014). Consistent Testing of Functional Form in Time Series Models. In Niels Haldrup, Mika Meitz, Pentti Saikkonen (Eds.)

*Essays in Nonlinear Time Series Econometrics*, Oxford University Press. Full text.

**Davidson J, Li X**(2014). Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes.

*Journal of Empirical Finance*Abstract. Full text.

### 2013

**Davidson JEH**(2013). Cointegration and Error Correction. In Hashimzade N, Thornton M (Eds.)

*Handbook of Empirical Methods in Macroeconomics*, Cheltenham: Edward Elgar, 165-188. Full text.

### 2010

**Davidson J, Halunga AG**(2010). Consistent Model Specification Testing.

**Davidson JEH, Monticini A**(2010). Tests for cointegration with structural breaks based on subsamples.

*Computational Statistics and Data Analysis*,

*54*(11), 2498-2511. Abstract.

**Davidson JEH**(2010). Time Series Modelling. Author URL.

### 2009

**Davidson JEH, Hashimzade N**(2009). Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes.

*Econometric Theory*,

*25*(6), 1589-1624. Abstract. Author URL. Full text.

**Davidson JEH, Sibbertsen P**(2009). Tests of Bias in Log-Periodogram Regression.

*Economics Letters*,

*102*, 83-86. Abstract. Author URL.

**Davidson JEH, Hashimzade N**(2009). Type I and type II fractional Brownian motions: a reconsideration.

*Computational Statistics and Data Analysis*,

*53*(6), 2089-2106. Abstract. Full text.

**Davidson JEH**(2009). When is a time series I(0)?. In Castle J, Shephard N (Eds.)

*The Methodology and Practice of Econometrics*, Oxford, New York: Oxford, 322-342. Abstract. Author URL.

### 2008

**Davidson JEH, Magnus JR, Wiegerinck J**(2008). A General Bound for the Limiting Distribution of Breitung's Statistic.

*Econometric Theory*,

*24*(5), 1443-1455. Abstract. Full text.

**Davidson JEH, Hashimzade N**(2008). Alternative Frequency and Time Domain Versions of Fractional Brownian Motion.

*Econometric Theory*,

*24*(1), 256-293. Abstract. Full text.

**Davidson JEH**(2008). Time Series Modelling. Author URL.

### 2007

**Davidson JEH, Peel DA, Monticini A**(2007). Implementing the wild bootstrap using a two-point distribution.

*Economics Letters*,

*96*(3), 309-315. Abstract. Full text.

**Byers JD, Davidson JEH, Peel DA**(2007). The long memory model of political support: some further results.

*Applied Economics*,

*29*(20), 2547-2552. Abstract. Full text.

### 2006

**Davidson JEH**(2006). Alternative bootstrap procedures for testing cointegration in fractionally integrated processes.

*Journal of Econometrics*,

*133*(2), 741-777. Full text.

**Davidson JEH**(2006). Asymptotic Methods and Functional Central Limit Theorems. In Mills TC, Patterson K (Eds.)

*Palgrave Handbooks of Econometrics: Vol. 1 Econometric Theory*, New York: Palgrave Macmillan, 159-211. Abstract. Full text.

**JEH D, Peel DA, Byers JD**(2006). Support for governments and leaders: Fractional cointegration analysis of poll evidence from the UK, 1960-2004.

*Studies in Nonlinear Dynamic and Econometrics*,

*10*(1). Abstract.

### 2005

**Davidson JEH, Sibbersten P**(2005). Generating schemes for long memory processes: regimes, aggregation and linearity.

*Journal of Econometrics*,

*128*(2), 253-282. Full text.

**Davidson JEH**(2005). Testing for fractional cointegration: the relationship between government popularity and economic performance in the UK. In Diebolt, C, Kyrtsou, K (Eds.)

*New Trends in Macroeconomics*, Springer, 147-171. Abstract. Full text.

### 2004

**Davidson J**(2004). Forecasting Markov-switching dynamic, conditionally heteroscedastic processes.

*Statistics and Probability Letters*,

*68*(2), 137-147. Full text.

**Davidson JEH**(2004). Moment and memory properties of linear conditional heteroscedasticity models, and a new model.

*Journal of Business & Economic Statistics*,

*22*(1), 16-29. Full text.

### 2002

**Davidson, J.**(2002). A model of fractional cointegration, and tests for cointegration using the bootstrap.

*Journal of Econometrics*,

*110*(2), 187-212. Full text.

**Davidson JEH**(2002). Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.

*Journal of Econometrics*,

*106*(2), 243-269. Full text.

**Davidson JEH, Terasvirta T**(2002). Long memory and nonlinear time series.

*Journal of Econometrics*,

*110*(2), 105-112. Full text.

### Awards and Honours

- Fellow of the Journal of Econometrics, appointed 2006
- Econometric Theory Award, 'Multa Scripsit', 2001

### Taught modules

## Modules

#### 2016/17

- BEE2020 - Introduction to Econometric Theory
- BEE3015 - Econometric Analysis
- BEEM104 - Quantitative Methods for Finance
- BEEM113 - Advanced Econometrics