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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

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

Consistent testing of functional form in time series models

Davidson, James E. H.; Halunga, Andreea G. - In: Essays in nonlinear time series econometrics, (pp. 28-56). 2014

Persistent link: https://www.econbiz.de/10010385315

Why crises happen : nonstationary macroeconomics

Davidson, James E. H.; Meenagh, David; Minford, Patrick; … - 2010

A Real Business Cycle model of the UK is developed to account for the behaviour of UK nonstationary macro data. The model is tested by the method of indirect inference, bootstrapping the errors to generate 95% confidence limits for a VECM representation of the data; we find the model can explain...

Persistent link: https://www.econbiz.de/10008758527

Why crises happen - nonstationary macroeconomics

Davidson, James E. H.; Meenagh, David; Minford, Patrick; … - 2010

Persistent link: https://www.econbiz.de/10008807060

Implementing the wild bootstrap using a two-point distribution

Davidson, James E. H.; Monticini, Andrea; Peel, David - In: Economics letters 96 (2007) 3, pp. 309-315

Persistent link: https://www.econbiz.de/10003504614

A test of the long memory hypothesis based on self-smimilarity

Davidson, James; Rambaccussing, Dooruj - 2015

Persistent link: https://www.econbiz.de/10010513443