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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 PO Box 15867 1001 NJ 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 2020-02-05. Update your information in the RePEc Author Service.

Short-id: pbo14


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Working Papers

2019

  1. Adaptive Testing for Cointegration with Nonstationary Volatility
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  2. Bootstrapping Non-Stationary Stochastic Volatility
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2016

  1. Cartel Dating
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics (2016) Downloads

    See also Journal Article Cartel dating, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) Downloads (2019)

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
    See also Journal Article Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors, Economics Letters, Elsevier (2014) Downloads View citations (1) (2014)
  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 (4)

    See also Journal Article Inference on co-integration parameters in heteroskedastic vector autoregressions, Journal of Econometrics, Elsevier (2016) Downloads View citations (23) (2016)

2012

  1. Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model
    Working Paper, Economics Department, Queen's University Downloads View citations (5)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) Downloads View citations (5)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2012) Downloads View citations (5)

    See also Journal Article Improved likelihood ratio tests for cointegration rank in the VAR model, Journal of Econometrics, Elsevier (2015) Downloads View citations (10) (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
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (18)
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2006) Downloads View citations (17)

2005

  1. Behavioral Heterogeneity in Stock Prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (11)
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2005) Downloads View citations (10)

    See also Journal Article Behavioral heterogeneity in stock prices, Journal of Economic Dynamics and Control, Elsevier (2007) Downloads View citations (331) (2007)
  2. Why Frequency Matters for Unit Root Testing
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (6)

2003

  1. Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (12)
    See also Journal Article Identifying, estimating and testing restricted cointegrated systems: An overview, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2004) Downloads View citations (37) (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
  2. The Econometrics Of The Bass Diffusion Model
    ERIM Report Series Research in Management, 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 Downloads View citations (8)
    See also Journal Article On the Econometrics of the Bass Diffusion Model, Journal of Business & Economic Statistics, American Statistical Association (2005) Downloads View citations (29) (2005)

2001

  1. Block Local to Unity and Continuous Record Asymptotics
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  2. Robust inference on average economic growth
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    See also Journal Article Robust Inference on Average Economic Growth*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2006) Downloads View citations (2) (2006)
  3. 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 Tinbergen Institute Discussion Papers, Tinbergen Institute (2001) Downloads View citations (2)
    CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2001) View citations (2)
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000) Downloads View citations (4)
  4. Testing for a Unit Root with Near-Integrated Volatility
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (20)
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000) Downloads View citations (4)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (10)

2000

  1. Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (18)
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000) Downloads View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) Downloads View citations (18)

1999

  1. A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (6)
  2. Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (14)
    See also Journal Article Distribution approximations for cointegration tests with stationary exogenous regressors, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) Downloads View citations (8) (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 (7)
    See also Journal Article Semi-nonparametric cointegration testing, Journal of Econometrics, Elsevier (2002) Downloads View citations (10) (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 Temporal aggregation in a periodically integrated autoregressive process, Statistics & Probability Letters, Elsevier (1996) Downloads View citations (4) (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

2019

  1. Cartel dating
    Journal of Applied Econometrics, 2019, 34, (1), 26-42 Downloads
    See also Working Paper Cartel Dating, Tinbergen Institute Discussion Papers (2016) Downloads View citations (1) (2016)

2018

  1. Adaptive wild bootstrap tests for a unit root with non‐stationary volatility
    Econometrics Journal, 2018, 21, (2), 87-113 Downloads View citations (4)
  2. Testing for self-excitation in jumps
    Journal of Econometrics, 2018, 203, (2), 256-266 Downloads View citations (15)

2017

  1. Consistent nonparametric specification tests for stochastic volatility models based on the return distribution
    Journal of Empirical Finance, 2017, 41, (C), 53-75 Downloads
  2. Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems
    Econometrics, 2017, 5, (3), 1-17 Downloads View citations (4)

2016

  1. Inference on co-integration parameters in heteroskedastic vector autoregressions
    Journal of Econometrics, 2016, 192, (1), 64-85 Downloads View citations (23)
    See also Working Paper Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions, Discussion Papers (2013) Downloads View citations (2) (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 (10)
    See also Working Paper Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model, Working Paper (2012) Downloads View citations (5) (2012)

2014

  1. Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors
    Economics Letters, 2014, 122, (2), 224-228 Downloads View citations (1)
    See also Working Paper Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors, UvA-Econometrics Working Papers (2013) Downloads (2013)
  2. Estimating spot volatility with high-frequency financial data
    Journal of Econometrics, 2014, 181, (2), 117-135 Downloads View citations (35)

2011

  1. Method of moments estimation of GO-GARCH models
    Journal of Econometrics, 2011, 163, (1), 118-126 Downloads View citations (35)
  2. 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 (2)
  2. MIXED NORMAL INFERENCE ON MULTICOINTEGRATION
    Econometric Theory, 2010, 26, (5), 1565-1576 Downloads View citations (8)
  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 (2)
  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 (24)
  2. Behavioral heterogeneity in stock prices
    Journal of Economic Dynamics and Control, 2007, 31, (6), 1938-1970 Downloads View citations (331)
    See also Working Paper Behavioral Heterogeneity in Stock Prices, Tinbergen Institute Discussion Papers (2005) Downloads View citations (11) (2005)

2006

  1. Causality and exogeneity in econometrics
    Journal of Econometrics, 2006, 132, (2), 305-309 Downloads View citations (5)
  2. Robust Inference on Average Economic Growth*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (3), 345-370 Downloads View citations (2)
    See also Working Paper Robust inference on average economic growth, Econometric Institute Research Papers (2001) Downloads (2001)

2005

  1. Distribution approximations for cointegration tests with stationary exogenous regressors
    Journal of Applied Econometrics, 2005, 20, (6), 797-810 Downloads View citations (8)
    See also Working Paper Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors, Tinbergen Institute Discussion Papers (1999) Downloads View citations (14) (1999)
  2. On the Econometrics of the Bass Diffusion Model
    Journal of Business & Economic Statistics, 2005, 23, 255-268 Downloads View citations (29)
    See also Working Paper The Econometrics Of The Bass Diffusion Model, ERIM Report Series Research in Management (2002) Downloads View citations (8) (2002)

2004

  1. Identifying, estimating and testing restricted cointegrated systems: An overview
    Statistica Neerlandica, 2004, 58, (4), 440-465 Downloads View citations (37)
    See also Working Paper Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview, Economics Papers (2003) Downloads View citations (12) (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 (10)
    See also Working Paper Semi-nonparametric cointegration testing, Serie Research Memoranda (1997) Downloads View citations (7) (1997)

2000

  1. MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS
    Econometric Theory, 2000, 16, (6), 878-904 Downloads View citations (20)

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 (15)
  2. Multiple unit roots in periodic autoregression
    Journal of Econometrics, 1997, 80, (1), 167-193 Downloads View citations (14)

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 Temporal aggregation in a periodically integrated autoregressive process, Research Memorandum (1993) Downloads (1993)
  2. Testing Identifiability of Cointegrating Vectors
    Journal of Business & Economic Statistics, 1996, 14, (2), 153-60 View citations (26)
  3. UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
    Journal of Time Series Analysis, 1996, 17, (3), 221-245 Downloads View citations (54)

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 (122)
  3. Periodic Cointegration: Representation and Inference
    The Review of Economics and Statistics, 1995, 77, (3), 436-54 Downloads View citations (25)
  4. Testing for periodic integration
    Economics Letters, 1995, 48, (3-4), 241-248 Downloads View citations (11)

1994

  1. Testing for an unstable root in conditional and structural error correction models
    Journal of Econometrics, 1994, 63, (1), 37-60 Downloads View citations (308)

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 (10)

1992

  1. Dynamic Specification and Cointegration
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 369-81 View citations (46)
 
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