Details about H. Peter Boswijk

Access statistics for papers by H. Peter Boswijk.

Last updated 2009-03-18. Update your information in the RePEc Author Service.

Short-id: pbo14

Working Papers

2006

1. A New Multivariate Product Growth Model
   Tinbergen Institute Discussion Papers, Tinbergen Institute
2. Wake me up before you GO-GARCH
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2006)

2005

3. Behavioral Heterogeneity in Stock Prices
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
   Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2005) View citations
   See also Journal Article in Journal of Economic Dynamics and Control (2007)
4. Why Frequency Matters for Unit Root Testing
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations

2003

5. Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
   See also Journal Article in Statistica Neerlandica (2004)
6. Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices
   Computing in Economics and Finance 2003, Society for Computational Economics

2002

7. How Large is Average Economic Growth? Evidence from a Robust Method
   Tinbergen Institute Discussion Papers, Tinbergen Institute
8. The Econometrics Of The Bass Diffusion Model
   Research Paper, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. View citations

2001

9. Block Local to Unity and Continuous Record Asymptotics
   Tinbergen Institute Discussion Papers, Tinbergen Institute
10. Robust inference on average economic growth
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2006)
11. Succes and Failure of Technical Trading Strategies in the Cocoa Futures Market
    Computing in Economics and Finance 2001, Society for Computational Economics View citations
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2001) View citations
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000) View citations
    CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2001) View citations
12. Testing for a Unit Root with Near-Integrated Volatility
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000) View citations
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations

2000

13. Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000)
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2000) View citations

1999

14. A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
15. Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
    See also Journal Article in Journal of Applied Econometrics (2005)

1998

16. A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics

1997

17. Common Persistence in Nonlinear Autoregressive Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
    Also in Working Papers, Erasmus University of Rotterdam - Econometric Institute (1997) View citations
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1996)
18. Semi-nonparametric cointegration testing
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations
    See also Journal Article in Journal of Econometrics (2002)

1996

19. Multiple Unit Roots in Periodic Autoregression
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1995) View citations
    See also Journal Article in Journal of Econometrics (1997)

1992

20. Testing for Periodique Integration
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations

1988

21. JOINT PREDICTION OF AUTOMOBILE OWNERSHIP AND MILEAGE BY A CROSS-SECTION MODEL
    Working Papers, Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics
    Also in Working Papers, Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics (1988)

Journal Articles

2007

1. Absorption of shocks in nonlinear autoregressive models
   Computational Statistics & Data Analysis, 2007, 51, (9), 4206-4226
2. Behavioral heterogeneity in stock prices
   Journal of Economic Dynamics and Control, 2007, 31, (6), 1938-1970 View citations
   See also Working Paper (2005)

2006

3. Causality and exogeneity in econometrics
   Journal of Econometrics, 2006, 132, (2), 305-309 View citations
4. Robust Inference on Average Economic Growth
   Oxford Bulletin of Economics and Statistics, 2006, 68, (3), 345-370
   See also Working Paper (2001)

2005

5. Distribution approximations for cointegration tests with stationary exogenous regressors
   Journal of Applied Econometrics, 2005, 20, (6), 797-810 View citations
   See also Working Paper (1999)
6. On the Econometrics of the Bass Diffusion Model
   Journal of Business & Economic Statistics, 2005, 23, 255-268 View citations

2004

7. Identifying, estimating and testing restricted cointegrated systems: An overview
   Statistica Neerlandica, 2004, 58, (4), 440-465 View citations
   See also Working Paper (2003)

2002

8. Finite sample and asymptotic methods in econometrics
   Journal of Econometrics, 2002, 111, (2), 135-140
9. Semi-nonparametric cointegration testing
   Journal of Econometrics, 2002, 108, (2), 253-280 View citations
   See also Working Paper (1997)

1998

10. Book reviews
    Econometric Reviews, 1998, 17, (3), 329-334

1997

11. Lagrance-multiplier tersts for weak exogeneity: a synthesis
    Econometric Reviews, 1997, 16, (1), 21-38
12. Multiple unit roots in periodic autoregression
    Journal of Econometrics, 1997, 80, (1), 167-193 View citations
    See also Working Paper (1996)

1996

13. Testing Identifiability of Cointegrating Vectors
    Journal of Business & Economic Statistics, 1996, 14, (2), 153-60 View citations

1995

14. Conditional and structural error correction models reply
    Journal of Econometrics, 1995, 69, (1), 173-175 View citations
15. Efficient inference on cointegration parameters in structural error correction models
    Journal of Econometrics, 1995, 69, (1), 133-158 View citations
16. Periodic Cointegration: Representation and Inference
    The Review of Economics and Statistics, 1995, 77, (3), 436-54 View citations
17. Testing for periodic integration
    Economics Letters, 1995, 48, (3-4), 241-248 View citations

1994

18. Testing for an unstable root in conditional and structural error correction models
    Journal of Econometrics, 1994, 63, (1), 37-60 View citations

1993

19. On the Formulation of Wald Tests on Long-Run Parameters
    Oxford Bulletin of Economics and Statistics, 1993, 55, (1), 137-44 View citations

1992

20. Dynamic Specification and Cointegration
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 369-81 View citations