Details about H. Peter Boswijk
Access statistics for papers by H. Peter Boswijk.
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Short-id: pbo14
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Working Papers
2019
- Adaptive Testing for Cointegration with Nonstationary Volatility
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
- Bootstrapping Non-Stationary Stochastic Volatility
Tinbergen Institute Discussion Papers, Tinbergen Institute
2016
- Cartel Dating
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
Also in UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics (2016) 
See also Journal Article Cartel dating, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) (2019)
2013
- Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors
UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics 
See also Journal Article Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors, Economics Letters, Elsevier (2014) View citations (1) (2014)
- Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions
Discussion Papers, University of Copenhagen. Department of Economics View citations (2)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2013) View citations (4)
See also Journal Article Inference on co-integration parameters in heteroskedastic vector autoregressions, Journal of Econometrics, Elsevier (2016) View citations (23) (2016)
2012
- Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model
Working Paper, Economics Department, Queen's University View citations (5)
Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (5) Tinbergen Institute Discussion Papers, Tinbergen Institute (2012) View citations (5)
See also Journal Article Improved likelihood ratio tests for cointegration rank in the VAR model, Journal of Econometrics, Elsevier (2015) View citations (10) (2015)
2006
- A New Multivariate Product Growth Model
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
- Wake me up before you GO-GARCH
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (18)
Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2006) View citations (17)
2005
- Behavioral Heterogeneity in Stock Prices
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (11)
Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2005) View citations (10)
See also Journal Article Behavioral heterogeneity in stock prices, Journal of Economic Dynamics and Control, Elsevier (2007) View citations (331) (2007)
- Why Frequency Matters for Unit Root Testing
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
2003
- Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview
Economics Papers, Economics Group, Nuffield College, University of Oxford 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) View citations (37) (2004)
- Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices
Computing in Economics and Finance 2003, Society for Computational Economics
2002
- How Large is Average Economic Growth? Evidence from a Robust Method
Tinbergen Institute Discussion Papers, Tinbergen Institute
- 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 View citations (8)
See also Journal Article On the Econometrics of the Bass Diffusion Model, Journal of Business & Economic Statistics, American Statistical Association (2005) View citations (29) (2005)
2001
- Block Local to Unity and Continuous Record Asymptotics
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
- Robust inference on average economic growth
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute 
See also Journal Article Robust Inference on Average Economic Growth*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2006) View citations (2) (2006)
- 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) 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) View citations (4)
- Testing for a Unit Root with Near-Integrated Volatility
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (20)
Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000) View citations (4) Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (10)
2000
- Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models
Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (18)
Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000) View citations (3) Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) View citations (18)
1999
- A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
- Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors
Tinbergen Institute Discussion Papers, Tinbergen Institute 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) View citations (8) (2005)
1998
- 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
- Semi-nonparametric cointegration testing
Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (7)
See also Journal Article Semi-nonparametric cointegration testing, Journal of Econometrics, Elsevier (2002) View citations (10) (2002)
1993
- Temporal aggregation in a periodically integrated autoregressive process
Research Memorandum, Tilburg University, School of Economics and Management 
See also Journal Article Temporal aggregation in a periodically integrated autoregressive process, Statistics & Probability Letters, Elsevier (1996) View citations (4) (1996)
1988
- 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
- Cartel dating
Journal of Applied Econometrics, 2019, 34, (1), 26-42 
See also Working Paper Cartel Dating, Tinbergen Institute Discussion Papers (2016) View citations (1) (2016)
2018
- Adaptive wild bootstrap tests for a unit root with non‐stationary volatility
Econometrics Journal, 2018, 21, (2), 87-113 View citations (4)
- Testing for self-excitation in jumps
Journal of Econometrics, 2018, 203, (2), 256-266 View citations (15)
2017
- Consistent nonparametric specification tests for stochastic volatility models based on the return distribution
Journal of Empirical Finance, 2017, 41, (C), 53-75
- Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems
Econometrics, 2017, 5, (3), 1-17 View citations (4)
2016
- Inference on co-integration parameters in heteroskedastic vector autoregressions
Journal of Econometrics, 2016, 192, (1), 64-85 View citations (23)
See also Working Paper Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions, Discussion Papers (2013) View citations (2) (2013)
2015
- Improved likelihood ratio tests for cointegration rank in the VAR model
Journal of Econometrics, 2015, 184, (1), 97-110 View citations (10)
See also Working Paper Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model, Working Paper (2012) View citations (5) (2012)
2014
- Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors
Economics Letters, 2014, 122, (2), 224-228 View citations (1)
See also Working Paper Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors, UvA-Econometrics Working Papers (2013) (2013)
- Estimating spot volatility with high-frequency financial data
Journal of Econometrics, 2014, 181, (2), 117-135 View citations (35)
2011
- Method of moments estimation of GO-GARCH models
Journal of Econometrics, 2011, 163, (1), 118-126 View citations (35)
- Why Frequency Matters for Unit Root Testing in Financial Time Series
Journal of Business & Economic Statistics, 2011, 30, (3), 351-357
2010
- Cointegration in a historical perspective
Journal of Econometrics, 2010, 158, (1), 156-159 View citations (2)
- MIXED NORMAL INFERENCE ON MULTICOINTEGRATION
Econometric Theory, 2010, 26, (5), 1565-1576 View citations (8)
- Nuisance parameter free inference on cointegration parameters in the presence of a variance shift
Economics Letters, 2010, 107, (2), 190-193 View citations (2)
- Twenty years of cointegration
Journal of Econometrics, 2010, 158, (1), 1-2
2007
- Absorption of shocks in nonlinear autoregressive models
Computational Statistics & Data Analysis, 2007, 51, (9), 4206-4226 View citations (24)
- Behavioral heterogeneity in stock prices
Journal of Economic Dynamics and Control, 2007, 31, (6), 1938-1970 View citations (331)
See also Working Paper Behavioral Heterogeneity in Stock Prices, Tinbergen Institute Discussion Papers (2005) View citations (11) (2005)
2006
- Causality and exogeneity in econometrics
Journal of Econometrics, 2006, 132, (2), 305-309 View citations (5)
- Robust Inference on Average Economic Growth*
Oxford Bulletin of Economics and Statistics, 2006, 68, (3), 345-370 View citations (2)
See also Working Paper Robust inference on average economic growth, Econometric Institute Research Papers (2001) (2001)
2005
- Distribution approximations for cointegration tests with stationary exogenous regressors
Journal of Applied Econometrics, 2005, 20, (6), 797-810 View citations (8)
See also Working Paper Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors, Tinbergen Institute Discussion Papers (1999) View citations (14) (1999)
- On the Econometrics of the Bass Diffusion Model
Journal of Business & Economic Statistics, 2005, 23, 255-268 View citations (29)
See also Working Paper The Econometrics Of The Bass Diffusion Model, ERIM Report Series Research in Management (2002) View citations (8) (2002)
2004
- Identifying, estimating and testing restricted cointegrated systems: An overview
Statistica Neerlandica, 2004, 58, (4), 440-465 View citations (37)
See also Working Paper Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview, Economics Papers (2003) View citations (12) (2003)
2002
- Finite sample and asymptotic methods in econometrics
Journal of Econometrics, 2002, 111, (2), 135-140
- Semi-nonparametric cointegration testing
Journal of Econometrics, 2002, 108, (2), 253-280 View citations (10)
See also Working Paper Semi-nonparametric cointegration testing, Serie Research Memoranda (1997) View citations (7) (1997)
2000
- MIXED NORMALITY AND ANCILLARITY IN I(2) SYSTEMS
Econometric Theory, 2000, 16, (6), 878-904 View citations (20)
1998
- Book reviews
Econometric Reviews, 1998, 17, (3), 329-334
1997
- Lagrance-multiplier tersts for weak exogeneity: a synthesis
Econometric Reviews, 1997, 16, (1), 21-38 View citations (15)
- Multiple unit roots in periodic autoregression
Journal of Econometrics, 1997, 80, (1), 167-193 View citations (14)
1996
- Temporal aggregation in a periodically integrated autoregressive process
Statistics & Probability Letters, 1996, 30, (3), 235-240 View citations (4)
See also Working Paper Temporal aggregation in a periodically integrated autoregressive process, Research Memorandum (1993) (1993)
- Testing Identifiability of Cointegrating Vectors
Journal of Business & Economic Statistics, 1996, 14, (2), 153-60 View citations (26)
- UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
Journal of Time Series Analysis, 1996, 17, (3), 221-245 View citations (54)
1995
- Conditional and structural error correction models reply
Journal of Econometrics, 1995, 69, (1), 173-175 View citations (4)
- Efficient inference on cointegration parameters in structural error correction models
Journal of Econometrics, 1995, 69, (1), 133-158 View citations (122)
- Periodic Cointegration: Representation and Inference
The Review of Economics and Statistics, 1995, 77, (3), 436-54 View citations (25)
- Testing for periodic integration
Economics Letters, 1995, 48, (3-4), 241-248 View citations (11)
1994
- Testing for an unstable root in conditional and structural error correction models
Journal of Econometrics, 1994, 63, (1), 37-60 View citations (308)
1993
- 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
- Dynamic Specification and Cointegration
Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 369-81 View citations (46)
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