Details about H. Peter Boswijk

Access statistics for papers by H. Peter Boswijk.

Last updated 2011-03-23. 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
   CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2006) View citations (1)

2005

3. Behavioral Heterogeneity in Stock Prices
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (8)
   Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2005) View citations (2)
   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 (4)

2003

5. Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (8)
   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 (2)

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 (2)
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000) View citations (2)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2001) View citations (1)
    CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2001) View citations (1)
12. Testing for a Unit Root with Near-Integrated Volatility
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000) View citations (3)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (5)

2000

13. Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (3)
    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 (3)

1999

14. A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
15. Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (12)
    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 View citations (1)

1997

17. Common Persistence in Nonlinear Autoregressive Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute
18. Semi-nonparametric cointegration testing
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (8)
    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 (3)
    See also Journal Article in Journal of Econometrics (1997)

1988

20. 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)

Undated

21. Optimal Structural Estimation of Triangular Systems: The Non-stationary Case. Solutions
    Open Access publications from Universidad Carlos III de Madrid, Universidad Carlos III de Madrid

Journal Articles

2010

1. MIXED NORMAL INFERENCE ON MULTICOINTEGRATION
   Econometric Theory, 2010, 26, (05), 1565-1576
2. Nuisance parameter free inference on cointegration parameters in the presence of a variance shift
   Economics Letters, 2010, 107, (2), 190-193

2007

3. Absorption of shocks in nonlinear autoregressive models
   Computational Statistics & Data Analysis, 2007, 51, (9), 4206-4226 View citations (2)
4. Behavioral heterogeneity in stock prices
   Journal of Economic Dynamics and Control, 2007, 31, (6), 1938-1970 View citations (20)
   See also Working Paper (2005)

2006

5. Causality and exogeneity in econometrics
   Journal of Econometrics, 2006, 132, (2), 305-309 View citations (1)
6. Robust Inference on Average Economic Growth
   Oxford Bulletin of Economics and Statistics, 2006, 68, (3), 345-370
   See also Working Paper (2001)

2005

7. Distribution approximations for cointegration tests with stationary exogenous regressors
   Journal of Applied Econometrics, 2005, 20, (6), 797-810 View citations (4)
   See also Working Paper (1999)
8. On the Econometrics of the Bass Diffusion Model
   Journal of Business & Economic Statistics, 2005, 23, 255-268 View citations (6)

2004

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

2002

10. Finite sample and asymptotic methods in econometrics
    Journal of Econometrics, 2002, 111, (2), 135-140
11. Semi-nonparametric cointegration testing
    Journal of Econometrics, 2002, 108, (2), 253-280 View citations (5)
    See also Working Paper (1997)

2000

12. MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS
    Econometric Theory, 2000, 16, (06), 878-904 View citations (4)

1998

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

1997

14. Lagrance-multiplier tersts for weak exogeneity: a synthesis
    Econometric Reviews, 1997, 16, (1), 21-38
15. Multiple unit roots in periodic autoregression
    Journal of Econometrics, 1997, 80, (1), 167-193 View citations (2)
    See also Working Paper (1996)
16. Roots of an Orthogonal Matrix—Solution
    Econometric Theory, 1997, 13, (06), 894-895

1996

17. Temporal aggregation in a periodically integrated autoregressive process
    Statistics & Probability Letters, 1996, 30, (3), 235-240 View citations (1)
18. Testing Identifiability of Cointegrating Vectors
    Journal of Business & Economic Statistics, 1996, 14, (2), 153-60 View citations (6)

1995

19. Conditional and structural error correction models reply
    Journal of Econometrics, 1995, 69, (1), 173-175 View citations (2)
20. Efficient inference on cointegration parameters in structural error correction models
    Journal of Econometrics, 1995, 69, (1), 133-158 View citations (33)
21. Periodic Cointegration: Representation and Inference
    The Review of Economics and Statistics, 1995, 77, (3), 436-54 View citations (6)
22. Testing for periodic integration
    Economics Letters, 1995, 48, (3-4), 241-248 View citations (4)

1994

23. An Inequality Between Perpendicular Least-Squares and Ordinary Least-Squares
    Econometric Theory, 1994, 10, (02), 441-442
24. Testing for an unstable root in conditional and structural error correction models
    Journal of Econometrics, 1994, 63, (1), 37-60 View citations (31)

1993

25. 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

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

1991

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

1990

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