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Details about H. Peter Boswijk

E-mail:
Homepage:http://www.uva.nl/profile/h.p.boswijk
Phone:+31 20 525 4316
Postal address:Amsterdam School of Economics University of Amsterdam Valckenierstraat 65-67 1018 XE Amsterdam The Netherlands
Workplace:Amsterdam School of Economics, Faculteit Economie en Bedrijfskunde (Faculty of Economics and Business), Universiteit van Amsterdam (University of Amsterdam), (more information at EDIRC)
Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC)

Access statistics for papers by H. Peter Boswijk.

Last updated 2016-06-30. Update your information in the RePEc Author Service.

Short-id: pbo14


Jump to Journal Articles

Working Papers

2013

  1. Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors
    UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics Downloads
  2. Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2016)

2012

  1. Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
    Working Papers, Queen's University, Department of Economics Downloads View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2012) Downloads View citations (2)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2015)

2006

  1. A New Multivariate Product Growth Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  2. Wake me up before you GO-GARCH
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (9)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2006) Downloads View citations (8)

2005

  1. Behavioral Heterogeneity in Stock Prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2005) Downloads View citations (3)

    See also Journal Article in Journal of Economic Dynamics and Control (2007)
  2. Why Frequency Matters for Unit Root Testing
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)

2003

  1. Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (9)
    See also Journal Article in Statistica Neerlandica (2004)
  2. Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices
    Computing in Economics and Finance 2003, Society for Computational Economics Downloads

2002

  1. How Large is Average Economic Growth? Evidence from a Robust Method
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2001

  1. Block Local to Unity and Continuous Record Asymptotics
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Succes and Failure of Technical Trading Strategies in the Cocoa Futures Market
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (2)
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000) Downloads View citations (3)
    CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2001) View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2001) Downloads View citations (1)
  3. Testing for a Unit Root with Near-Integrated Volatility
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (7)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (5)
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000) Downloads View citations (3)

2000

  1. Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (9)
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000) Downloads View citations (2)

1999

  1. A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
  2. Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (14)
    See also Journal Article in Journal of Applied Econometrics (2005)

1998

  1. A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (1)

1997

  1. Semi-nonparametric cointegration testing
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2002)

1993

  1. Temporal aggregation in a periodically integrated autoregressive process
    Research Memorandum, Tilburg University, School of Economics and Management Downloads
    See also Journal Article in Statistics & Probability Letters (1996)

1988

  1. 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

2016

  1. Inference on co-integration parameters in heteroskedastic vector autoregressions
    Journal of Econometrics, 2016, 192, (1), 64-85 Downloads View citations (2)
    See also Working Paper (2013)

2015

  1. Improved likelihood ratio tests for cointegration rank in the VAR model
    Journal of Econometrics, 2015, 184, (1), 97-110 Downloads View citations (3)
    See also Working Paper (2012)

2011

  1. Why Frequency Matters for Unit Root Testing in Financial Time Series
    Journal of Business & Economic Statistics, 2011, 30, (3), 351-357 Downloads

2010

  1. Cointegration in a historical perspective
    Journal of Econometrics, 2010, 158, (1), 156-159 Downloads View citations (1)
  2. MIXED NORMAL INFERENCE ON MULTICOINTEGRATION
    Econometric Theory, 2010, 26, (05), 1565-1576 Downloads View citations (2)
  3. Nuisance parameter free inference on cointegration parameters in the presence of a variance shift
    Economics Letters, 2010, 107, (2), 190-193 Downloads View citations (1)
  4. Twenty years of cointegration
    Journal of Econometrics, 2010, 158, (1), 1-2 Downloads

2007

  1. Absorption of shocks in nonlinear autoregressive models
    Computational Statistics & Data Analysis, 2007, 51, (9), 4206-4226 Downloads View citations (15)
  2. Behavioral heterogeneity in stock prices
    Journal of Economic Dynamics and Control, 2007, 31, (6), 1938-1970 Downloads View citations (154)
    See also Working Paper (2005)

2006

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

2005

  1. Distribution approximations for cointegration tests with stationary exogenous regressors
    Journal of Applied Econometrics, 2005, 20, (6), 797-810 Downloads View citations (5)
    See also Working Paper (1999)
  2. On the Econometrics of the Bass Diffusion Model
    Journal of Business & Economic Statistics, 2005, 23, 255-268 Downloads View citations (22)

2004

  1. Identifying, estimating and testing restricted cointegrated systems: An overview
    Statistica Neerlandica, 2004, 58, (4), 440-465 Downloads View citations (15)
    See also Working Paper (2003)

2002

  1. Finite sample and asymptotic methods in econometrics
    Journal of Econometrics, 2002, 111, (2), 135-140 Downloads
  2. Semi-nonparametric cointegration testing
    Journal of Econometrics, 2002, 108, (2), 253-280 Downloads View citations (6)
    See also Working Paper (1997)

2000

  1. MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS
    Econometric Theory, 2000, 16, (06), 878-904 Downloads View citations (13)

1998

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

1997

  1. Lagrance-multiplier tersts for weak exogeneity: a synthesis
    Econometric Reviews, 1997, 16, (1), 21-38 Downloads View citations (7)
  2. Multiple unit roots in periodic autoregression
    Journal of Econometrics, 1997, 80, (1), 167-193 Downloads View citations (9)
  3. Roots of an Orthogonal Matrix—Solution
    Econometric Theory, 1997, 13, (06), 894-895 Downloads

1996

  1. Temporal aggregation in a periodically integrated autoregressive process
    Statistics & Probability Letters, 1996, 30, (3), 235-240 Downloads View citations (4)
    See also Working Paper (1993)
  2. Testing Identifiability of Cointegrating Vectors
    Journal of Business & Economic Statistics, 1996, 14, (2), 153-60 View citations (14)

1995

  1. Conditional and structural error correction models reply
    Journal of Econometrics, 1995, 69, (1), 173-175 Downloads View citations (4)
  2. Efficient inference on cointegration parameters in structural error correction models
    Journal of Econometrics, 1995, 69, (1), 133-158 Downloads View citations (62)
  3. Periodic Cointegration: Representation and Inference
    The Review of Economics and Statistics, 1995, 77, (3), 436-54 Downloads View citations (19)
  4. Testing for periodic integration
    Economics Letters, 1995, 48, (3-4), 241-248 Downloads View citations (8)

1994

  1. An Inequality Between Perpendicular Least-Squares and Ordinary Least-Squares
    Econometric Theory, 1994, 10, (02), 441-442 Downloads
  2. Testing for an unstable root in conditional and structural error correction models
    Journal of Econometrics, 1994, 63, (1), 37-60 Downloads View citations (108)

1993

  1. On the Formulation of Wald Tests on Long-Run Parameters
    Oxford Bulletin of Economics and Statistics, 1993, 55, (1), 137-44 View citations (3)

1992

  1. Dynamic Specification and Cointegration
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 369-81 View citations (37)

1991

  1. Optimal Structural Estimation of Triangular Systems: I. The Stationary Case
    Econometric Theory, 1991, 7, (03), 428-431 Downloads
  2. Optimal Structural Estimation of Triangular Systems: II. The Nonstationary Case
    Econometric Theory, 1991, 7, (04), 549-558 Downloads

1990

  1. Property of a Matrix Used in Multidimensional Scaling
    Econometric Theory, 1990, 6, (02), 285-285 Downloads
 
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