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Problems with the estimation of moving average processes
Davidson, James E. H. - In: Journal of Econometrics 16 (1981) 3, pp. 295-310
Persistent link: https://www.econbiz.de/10005228867
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Generating schemes for long memory processes: regimes, aggregation and linearity
Davidson, James; Sibbertsen, Philipp - In: Journal of Econometrics 128 (2005) 2, pp. 253-282
Persistent link: https://www.econbiz.de/10005122630
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Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
Davidson, James - In: Journal of Econometrics 133 (2006) 2, pp. 741-777
Persistent link: https://www.econbiz.de/10005228684
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A model of fractional cointegration, and tests for cointegration using the bootstrap
Davidson, James - In: Journal of Econometrics 110 (2002) 2, pp. 187-212
Persistent link: https://www.econbiz.de/10005285325
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Structural relations, cointegration and identification: some simple results and their application
Davidson, James - In: Journal of Econometrics 87 (1998) 1, pp. 87-113
Persistent link: https://www.econbiz.de/10005285416
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Corrigendum to "Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes": [Journal of Econometrics 106 (2) (2002) 243...
Davidson, James - In: Journal of Econometrics 110 (2002) 1, pp. 103-104
Persistent link: https://www.econbiz.de/10005285545
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Long memory and nonlinear time series
Davidson, James; Terasvirta, Timo - In: Journal of Econometrics 110 (2002) 2, pp. 105-112
Persistent link: https://www.econbiz.de/10005239097
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Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes
Davidson, James - In: Journal of Econometrics 106 (2002) 2, pp. 243-269
Persistent link: https://www.econbiz.de/10005192692