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University of Exeter Business School

Professor James Davidson

Professor James Davidson

Emeritus Professor of Econometrics


 +44 (0) 1392 724517

 Streatham Court 0.44


Streatham 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.


  • BSocSc (Birmingham), MSc (LSE)


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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.

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External Engagement and Impact

Awards and Honours

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

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