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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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Davidson JEH (2018). Introduction to Econometric Theory. Hoboken, NJ, John Wiley & Sons.

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.
Davidson J, Li X (2016). Strict stationarity, persistence and volatility forecasting in ARCH(∞) processes. Journal of Empirical Finance, 38, 534-547. Abstract.
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.
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.
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.
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.
Davidson JEH, Hashimzade N (2008). Alternative Frequency and Time Domain Versions of Fractional Brownian Motion. Econometric Theory, 24(1), 256-293. Abstract.
Davidson JEH, Peel DA, Monticini A (2007). Implementing the wild bootstrap using a two-point distribution. Economics Letters, 96(3), 309-315. Abstract.
Byers JD, Davidson JEH, Peel DA (2007). The long memory model of political support: some further results. Applied Economics, 29(20), 2547-2552. Abstract.
Davidson JEH (2006). Alternative bootstrap procedures for testing cointegration in fractionally integrated processes. Journal of Econometrics, 133(2), 741-777.
Davidson JEH, Peel DA, Byers JD (2006). Support for governments and leaders: Fractional cointegration analysis of poll evidence from the UK, 1960-2004. Studies in Nonlinear Dynamics and Econometrics, 10(1), 47-69. Abstract.
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.
Davidson J (2004). Forecasting Markov-switching dynamic, conditionally heteroscedastic processes. Statistics and Probability Letters, 68(2), 137-147.
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.
Davidson, J. (2002). A model of fractional cointegration, and tests for cointegration using the bootstrap. Journal of Econometrics, 110(2), 187-212.
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.
Davidson JEH, Terasvirta T (2002). Long memory and nonlinear time series. Journal of Econometrics, 110(2), 105-112.


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.
Davidson JEH (2013). Cointegration and Error Correction. In Hashimzade N, Thornton M (Eds.) Handbook of Empirical Methods in Macroeconomics, Cheltenham: Edward Elgar, 165-188.
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.
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.
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.

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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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