James Davidson

8.3k total citations · 3 hit papers
70 papers, 4.5k citations indexed

About

James Davidson is a scholar working on Economics and Econometrics, Finance and General Economics, Econometrics and Finance. According to data from OpenAlex, James Davidson has authored 70 papers receiving a total of 4.5k indexed citations (citations by other indexed papers that have themselves been cited), including 26 papers in Economics and Econometrics, 25 papers in Finance and 25 papers in General Economics, Econometrics and Finance. Recurrent topics in James Davidson's work include Monetary Policy and Economic Impact (25 papers), Financial Risk and Volatility Modeling (21 papers) and Market Dynamics and Volatility (16 papers). James Davidson is often cited by papers focused on Monetary Policy and Economic Impact (25 papers), Financial Risk and Volatility Modeling (21 papers) and Market Dynamics and Volatility (16 papers). James Davidson collaborates with scholars based in United Kingdom, United States and Germany. James Davidson's co-authors include David F. Hendry, Clive W. J. Granger, Stephen Yeo, Robert M. de Jong, Halbert White, A. Ronald Gallant, David Peel, Chêng Hsiao, Nigar Hashimzade and Philipp Sibbertsen and has published in prestigious journals such as Econometrica, The Economic Journal and Journal of Econometrics.

In The Last Decade

James Davidson

69 papers receiving 3.9k citations

Hit Papers

Econometric Modelling of the Aggregate Time-Series Relati... 1978 2026 1994 2010 1978 1994 1993 250 500 750 1000
What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

  1. Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom
    1978 1.0k citations James Davidson et al. The Economic Journal profile →
  2. Stochastic Limit Theory
    1994 776 citations James Davidson profile →
  3. Long-Run Economic Relationships: Readings in Cointegration.
    1993 730 citations James Davidson et al. profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
James Davidson United Kingdom 25 3.0k 2.4k 1.9k 737 374 70 4.5k
Timothy J. Vogelsang United States 29 2.9k 1.0× 2.3k 1.0× 1.5k 0.8× 812 1.1× 246 0.7× 67 4.4k
Mario Forni Italy 27 3.5k 1.2× 3.2k 1.4× 1.8k 0.9× 432 0.6× 524 1.4× 57 4.9k
Alain Monfort France 32 2.7k 0.9× 1.6k 0.7× 2.1k 1.1× 1.1k 1.5× 559 1.5× 125 5.5k
Pentti Saikkonen Finland 33 3.5k 1.2× 2.9k 1.2× 1.9k 1.0× 530 0.7× 221 0.6× 94 4.7k
P. C. B. Phillips United States 23 3.8k 1.3× 3.8k 1.6× 2.6k 1.4× 1.2k 1.6× 372 1.0× 45 6.0k
P. A. V. B. Swamy United States 27 2.6k 0.9× 1.5k 0.6× 797 0.4× 545 0.7× 433 1.2× 126 4.1k
Kenneth F. Wallis United Kingdom 34 2.4k 0.8× 2.2k 0.9× 925 0.5× 351 0.5× 790 2.1× 101 4.0k
Aman Ullah United States 25 3.3k 1.1× 1.2k 0.5× 1.0k 0.5× 977 1.3× 538 1.4× 98 5.1k
Marco Lippi Italy 20 2.9k 1.0× 2.5k 1.1× 1.4k 0.7× 421 0.6× 504 1.3× 48 4.0k
Massimiliano Marcellino Italy 44 4.5k 1.5× 4.2k 1.8× 2.1k 1.1× 337 0.5× 1.0k 2.8× 232 6.1k

Countries citing papers authored by James Davidson

Since Specialization
Citations

This map shows the geographic impact of James Davidson's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by James Davidson with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites James Davidson more than expected).

Fields of papers citing papers by James Davidson

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by James Davidson. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by James Davidson. The network helps show where James Davidson may publish in the future.

Co-authorship network of co-authors of James Davidson

This figure shows the co-authorship network connecting the top 25 collaborators of James Davidson. A scholar is included among the top collaborators of James Davidson based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with James Davidson. James Davidson is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Davidson, James, et al.. (2015). A Test of the Long Memory Hypothesis Based on Self-Similarity. Discovery Research Portal (University of Dundee). 7(2). 115–141. 7 indexed citations
2.
Davidson, James, David Meenagh, Patrick Minford, & Michael Wickens. (2010). Why crises happen - nonstationary macroeconomics. ORCA Online Research @Cardiff (Cardiff University). 2 indexed citations
3.
4.
Davidson, James, et al.. (2008). Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes. 11 indexed citations
5.
Davidson, James, et al.. (2007). Implementing the wild bootstrap using a two-point distribution. Economics Letters. 96(3). 309–315. 27 indexed citations
6.
Davidson, James & Nigar Hashimzade. (2007). ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION. Econometric Theory. 24(1). 16 indexed citations
7.
Davidson, James. (2005). Alternative bootstrap procedures for testing cointegration in fractionally integrated processes. Journal of Econometrics. 133(2). 741–777. 17 indexed citations
8.
Davidson, James. (2004). Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model. Journal of Business and Economic Statistics. 22(1). 16–29. 271 indexed citations
9.
Davidson, James. (2004). Forecasting Markov-switching dynamic, conditionally heteroscedastic processes. Statistics & Probability Letters. 68(2). 137–147. 13 indexed citations
10.
Davidson, James & Robert M. de Jong. (2002). Consistency of kernel variance estimators for sums of semiparametric linear processes. Econometrics Journal. 5(1). 160–175. 1 indexed citations
11.
Davidson, James & Timo Teräsvirta. (2002). Long memory and nonlinear time series. Journal of Econometrics. 110(2). 105–112. 16 indexed citations
12.
Jong, Robert M. de & James Davidson. (2000). Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices. Econometrica. 68(2). 407–423. 120 indexed citations
13.
Byers, David, James Davidson, & David Peel. (2000). The dynamics of aggregate political popularity: evidence from eight countries. Electoral Studies. 19(1). 49–62. 33 indexed citations
14.
Davidson, James. (1994). IDENTIFYING COINTEGRATING REGRESSIONS BY THE RANK CONDITION. Oxford Bulletin of Economics and Statistics. 56(1). 105–110. 19 indexed citations
15.
Davidson, James & Jonathan Ireland. (1990). Buffer stocks, credit, and aggregation effects in the demand for broad money: Theory and an application to the U.K. personal sector. Journal of Policy Modeling. 12(2). 349–376. 4 indexed citations
16.
Davidson, James, A. Ronald Gallant, & Halbert White. (1988). A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models.. The Economic Journal. 98(393). 1215–1215. 309 indexed citations
17.
Davidson, James & Jonathan Ireland. (1987). Buffer Stock Models of the Monetary Sector. National Institute Economic Review. 121. 67–71. 5 indexed citations
18.
Davidson, James & Keith Cuthbertson. (1986). The Supply and Demand for Money.. The Economic Journal. 96(383). 832–832. 17 indexed citations
19.
Davidson, James. (1983). Error Correction Systems. OpenGrey (Institut de l'Information Scientifique et Technique). 4 indexed citations
20.
Davidson, James. (1981). Problems with the estimation of moving average processes. Journal of Econometrics. 16(3). 295–310. 32 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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