Searching for authors named "James Davidson" – sorted by Relevance.
20 documents found, showing 1 through 10.
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A Model of Fractional Cointegration, and Tests Cointegration Using the Bootstrap
- … Davidson † Cardiff University Revised, April 2001 Abstract The paper proposes a framework for modelling…
- Cited by 4 (3 self) – Add To MetaCart
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Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes
- … Time Series Processes James Davidson ∗ Cardiff University February 2001 JEL ClassiÞcation: C10, C22…
- Cited by 6 (3 self) – Add To MetaCart
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When is a time series I(0)? Evaluating the memory properties of nonlinear dynamic models
- … Davidson ∗ Cardiff University Revised Version, March 2000 Abstract The paper proposes that a useful concept…
- Cited by 5 (2 self) – Add To MetaCart
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A Wald test of restrictions on the cointegrating space based on Johansen's estimator
- … space based on Johansen’s estimator * James Davidson Cardiff Business School, Colum Drive, Cardiff CF1 3…
- Cited by 1 (1 self) – Add To MetaCart
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Structural Relations, Cointegration and Identification: Some Simple Results and Their Application
- …: some simple results and their application Abstract James Davidson��* � Cardiff Business School, Colum…
- Cited by 5 (1 self) – Add To MetaCart
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A Non-Linear Error Correction Mechanism Based on the Bilinear Model
- … on the bilinear 1 model * David Peel , James Davidson Cardiff Business School, Aberconway Building, Colum Drive…
- Cited by 3 (2 self) – Add To MetaCart
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Generating Schemes for Long Memory Processes: Regimes, Aggregation and Linearity
- …Generating Schemes for Long Memory Processes: Regimes, Aggregation and Linearity James Davidson y…
- Cited by 1 (0 self) – Add To MetaCart
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Convergence to Stochastic Integrals with Fractionally Integrated Integrator Processes: Theory, and Applications to Cointegrating Regression
- …, and Applications to Cointegrating Regression James Davidson ∗ Cardiff University This version, January 2003 JEL…
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Convergence to Stochastic Integrals with Fractionally Integrated Integrator Processes: Theory, and Application to Fractional
- …, and Application to Fractional Cointegration James Davidson ∗ Cardiff University Revised, March 2001 Keywords…
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The Dynamics Of Aggregate Political Popularity: Evidence From Eight Countries
- … 1988 David Byers, James Davidson † and David Peel Cardiff Business School, Aberconway Building, Colum…
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