Browsing by Author "Davidson, James"
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Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
Davidson, James (Elsevier, 200608)This paper considers alternative methods of testing cointegration in fractionally integrated processes, using the bootstrap. The investigation focuses on (a) choice of statistic, (b) use of bias correction techniques, and ... 
Alternative frequency and time domain versions of fractional Brownian motion
Davidson, James; Hashimzade, Nigar (Cambridge University Press, 2008)This paper compares models of fractional processes and associated weak convergence results based on moving average representations in the time domain with spectral representations. Both approaches have been applied in the ... 
Asymptotic methods and functional central limit theorems
Davidson, James (Palgrave, 2006) 
Consistent model specification testing
Davidson, James; Halunga, Andreea G. (University of Exeter Business School, 201203)This paper proposes a consistent model specfication test that can be applied to a wide class of models and estimators, including all variants of quasimaximum likelihood and generalized method of moments. Our framework ... 
Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes
Davidson, James (Elsevier, 2002)This paper considers methods of deriving sufficient conditions for the central limit theorem and functional central limit theorem to hold in a broad class of time series processes, including nonlinear processes and ... 
Forecasting Markovswitching dynamic, conditionally heteroscedastic processes
Davidson, James (Elsevier, 2004)Recursive formulae are derived for the multistep point forecasts and forecast standard errors of Markov switching models with ARMA(∞,q) dynamics (including the fractionally integrated case) and conditional heteroscedasticity ... 
The functional central limit theorem and weak convergence to stochastic integrals I: weakly dependent processes
De Jong, Robert M.; Davidson, James (Cambridge University Press, 200010)This paper gives new conditions for the functional central limit theorem, and weak convergence of stochastic integrals, for nearepochdependent functions of mixing processes. These results have fundamental applications ... 
The functional central limit theorem and weak convergence to stochastic integrals II: fractionally integrated processes
Davidson, James; De Jong, Robert M. (Cambridge University Press, 200010)This paper derives a functional central limit theorem for the partial sums of fractionally integrated processes, otherwise known as I(d) processes for d < 1/2. Such processes have long memory, and the limit distribution ... 
A general bound for the limiting distribution of Breitung's statistic
Davidson, James; Magnus, Jan R.; Wiegerinck, Jan (Cambridge University Press, 200810)We consider the Breitung (2002, Journal of Econometrics 108, 343–363) statistic ξn, which provides a nonparametric test of the I(1) hypothesis. If ξ denotes the limit in distribution of ξn as n → ∞, we prove (Theorem 1) ... 
Generating schemes for long memory processes: regimes, aggregation and linearity
Davidson, James; Sibbertsen, Philipp (Elsevier, 200510)This paper analyses a class of nonlinear time series models exhibiting long memory. These processes exhibit short memory fluctuations around a local mean (regime) which switches randomly such that the durations of the ... 
Implementing the wild bootstrap using a twopoint distribution
Davidson, James; Monticini, Andrea; Peel, David (Elsevier, 2007)We consider how to select the auxiliary distribution to implement the wild bootstrap for regressions featuring heteroscedasticity of unknown form. We propose a new class of twopoint distributions and suggest using the ... 
Long memory and nonlinear time series
Davidson, James; Teräsvirta, Timo (Elsevier, 2002) 
The long memory model of political support: some further results
Byers, David; Davidson, James; Peel, David (Routledge, part of the Taylor & Francis Group, 200711)This article extends the results of Byers et al. (1997) on long memory in support for the Conservative and Labour Parties in the UK using longer samples and additional poll series. It finds continuing support for the ... 
A model of fractional cointegration, and tests for cointegration using the bootstrap
Davidson, James (Elsevier, 2002)The paper proposes a framework for modelling cointegration in fractionally integrated processes, and considers methods for testing the existence of cointegrating relationships using the parametric bootstrap. In these ... 
Moment and memory properties of linear conditional heteroscedasticity models, and a new model
Davidson, James (American Statistical Association, 2004)This article analyses the statistical properties of that general class of conditional heteroscedasticity models in which the conditional variance is a linear function of squared lags of the process. GARCH, IGARCH, FIGARCH, ... 
Representation and weak convergence of stochastic integrals with fractional integrator processes
Davidson, James; Hashimzade, Nigar (Cambridge University Press, 2009)This paper considers the asymptotic distribution of the sample covariance of a nonstationary fractionally integrated process with the stationary increments of another such process .possibly, itself. Questions of interest ... 
Representation and weak convergence of stochastic integrals with fractional integrator processes
Davidson, James; Hashimzade, Nigar (Cambridge University Press, 2008) 
Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 19602004
Davidson, James; Byers, David; Peel, David (Berkeley Electronic Press, 200603)Two versions of a fractionally cointegrating vector error correction model (FVECM) are presented. In the case of regular cointegration, linear combinations of fractionally integrated variables are integrated to lower order. ... 
A test of the long memory hypothesis based on selfsimilarity
Davidson, James; Rambaccussing, Dooruj (De Gruyter, 20150530)This paper develops a new test of true versus spurious long memory, based on logperiodogram estimation of the long memory parameter using skipsampled data. A correction factor is derived to overcome the bias in this ... 
Testing for fractional cointegration: the relationship between government popularity and economic performance in the UK
Davidson, James (SpringerVerlag, 2005)