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Structural relations, cointegration and identification : some simple results and their application
Davidson, James E. H. - In: Journal of econometrics 87 (1998) 1, pp. 87-113
Persistent link: https://www.econbiz.de/10001248305
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A model of fractional cointegration, and tests for cointegration using the bootstrap
Davidson, James E. H. - In: Journal of econometrics 110 (2002) 2, pp. 187-212
Persistent link: https://www.econbiz.de/10001703507
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Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes
Davidson, James E. H. - In: Journal of econometrics 106 (2002) 2, pp. 243-269
Persistent link: https://www.econbiz.de/10001638897
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Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
Davidson, James E. H. - In: Journal of econometrics 133 (2006) 2, pp. 741-777
Persistent link: https://www.econbiz.de/10003359632
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Annals of econometrics: Long memory and nonlinear time series
Davidson, James E. H. (contributor);  … - 2002
Persistent link: https://www.econbiz.de/10001703499
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Generating schemes for long memory processes : regimes, aggregation and linarity
Davidson, James E. H.; Sibbertsen, Philipp - In: Journal of econometrics 128 (2005) 2, pp. 253-282
Persistent link: https://www.econbiz.de/10003091350
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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/10006751076
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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/10006766973
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Long memory and nonlinear time series
Davidson, James; Teräsvirta, Timo - In: Journal of econometrics 110 (2002) 2, pp. 105-112
Persistent link: https://www.econbiz.de/10006766977
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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) 243-269)
Davidson, James - In: Journal of econometrics 110 (2002) 1, pp. 103
Persistent link: https://www.econbiz.de/10006767446