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Information about:
H. Peter Boswijk

Personal Details | Affiliation | Works
This is information that was supplied by H. Peter Boswijk in registering through RePEc. If you are H. Peter Boswijk , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: H. Peter
Middle Name:
Last Name: Boswijk
Suffix:

RePEc Short-ID: pbo14

Email:
Homepage: http://www.ase.uva.nl/pp/hpboswijk/
Postal Address: Department of Quantitative Economics Universiteit van Amsterdam Roetersstraat 11 1018 WB Amsterdam The Netherlands
Phone: +31 20 525 4316

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. H. Peter Boswijk & Roy van der Weide, 2006. "Wake me up before you GO-GARCH," Tinbergen Institute Discussion Papers 06-079/4, Tinbergen Institute, revised 21 Sep 2006. [Downloadable!]
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  2. H.P. Boswijk & D. Fok & P.-H. Franses, 2006. "A New Multivariate Product Growth Model," Tinbergen Institute Discussion Papers 06-027/4, Tinbergen Institute. [Downloadable!]

  3. H. Peter Boswijk & Franc Klaassen, 2005. "Why Frequency Matters for Unit Root Testing," Tinbergen Institute Discussion Papers 04-119/4, Tinbergen Institute. [Downloadable!]

  4. Peter Boswijk & Cars H. Hommes & Sebastiano Manzan, 2005. "Behavioral Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers 05-052/1, Tinbergen Institute. [Downloadable!]
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    Published as:

  5. H. Peter Boswijk & Jurgen Doornik, 2003. "Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview," Economics Papers 2003-W10, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Published as:

  6. S. Manzan & P. Boswijk & C.H. Hommes, 2003. "Mean Reversion, Bubbles and Heterogeneous Beliefs in Stock Prices," Computing in Economics and Finance 2003 252, Society for Computational Economics. [Downloadable!]

  7. H. Peter Boswijk & Philip Hans Franses, 2002. "How Large is Average Economic Growth? Evidence from a Robust Method," Tinbergen Institute Discussion Papers 02-002/4, Tinbergen Institute. [Downloadable!]

  8. Boswijk, H.P. & Franses, Ph.H.B.F., 2002. "The Econometrics Of The Bass Diffusion Model," Research Paper ERS-2002-66-MKT Revision_, 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 Uni. [Downloadable!]

  9. H. Peter Boswijk, 2001. "Block Local to Unity and Continuous Record Asymptotics," Tinbergen Institute Discussion Papers 01-078/4, Tinbergen Institute. [Downloadable!]

  10. H.P. Boswijk & P.H. Franses, 2001. "Robust inference on average economic growth," Econometric Institute Report 252, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Published as:

  11. Gerwin Griffioen & Peter Boswijk & Cars Hommes, 2001. "Success and Failure of Technical Trading Strategies in the Cocoa Futures Market," CeNDEF Workshop Papers, January 2001 4A.4, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
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  12. D.J.C. van Dijk & P.H.B.F. Franses & H.P. Boswijk, 2000. "Asymmetric and common absorption of shocks in nonlinear autoregressive models," Econometric Institute Report 184, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  13. H. Peter Boswijk, 2000. "Testing for a Unit Root with Near-Integrated Volatility," Econometric Society World Congress 2000 Contributed Papers 1101, Econometric Society. [Downloadable!]
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  14. H. Peter Boswijk & Jurgen A. Doornik, 1999. "Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors," Tinbergen Institute Discussion Papers 99-013/4, Tinbergen Institute. [Downloadable!]
    Published as:

  15. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute. [Downloadable!]

  16. Boswijk, H. Peter & Lucas, Andr‚ & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda 0062, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]

  17. Boswijk, H. Peter & Lucas, Andr‚, 1997. "Semi-nonparametric cointegration testing," Serie Research Memoranda 0041, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    Published as:

  18. Boswijk,P. & Franses,P.H. & Haldrup,N., 1996. "Multiple Unit Roots in Periodic Autoregression," Economics Working Papers 1996-2, School of Economics and Management, University of Aarhus.
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  19. H. Peter Boswijk & Philip Hans Franses, 1996. "Common Persistence in Nonlinear Autoregressive Models," University of California at San Diego, Economics Working Paper Series 96-10, Department of Economics, UC San Diego. [Downloadable!]
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  20. Boswijk, H.P. & Franses, P.H., 1992. "Testing for Periodique Integration," Papers 9216-a, Erasmus University of Rotterdam - Econometric Institute.

  21. De Jong, G.C. & Boswijk, H.P. & Cramer, J.S., 1988. "Joint Prediction Of Automobile Ownership And Mileage By A Cross-Section Model," Papers ae_2-88, Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics.
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Articles

  1. van Dijk, Dick & Hans Franses, Philip & Peter Boswijk, H., 2007. "Absorption of shocks in nonlinear autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4206-4226, May. [Downloadable!] (restricted)

  2. Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007. "Behavioral heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1938-1970, June. [Downloadable!] (restricted)
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  3. Bauwens, Luc & Peter Boswijk, H. & Urbain, Jean-Pierre, 2006. "Causality and exogeneity in econometrics," Journal of Econometrics, Elsevier, vol. 132(2), pages 305-309, June. [Downloadable!] (restricted)

  4. H. Peter Boswijk & Philip Hans Franses, 2006. "Robust Inference on Average Economic Growth," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(3), pages 345-370, 06. [Downloadable!] (restricted)
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  5. Boswijk, H. Peter & Franses, Philip Hans, 2005. "On the Econometrics of the Bass Diffusion Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 255-268, July. [Downloadable!] (restricted)

  6. Jurgen A. Doornik & H. Peter Boswijk, 2005. "Distribution approximations for cointegration tests with stationary exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 797-810. [Downloadable!]
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  7. H. Peter Boswijk & Jurgen A. Doornik, 2004. "Identifying, estimating and testing restricted cointegrated systems: An overview," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 440-465. [Downloadable!] (restricted)
    Other versions:

  8. Boswijk, H. Peter & Lucas, Andre, 2002. "Semi-nonparametric cointegration testing," Journal of Econometrics, Elsevier, vol. 108(2), pages 253-280, June. [Downloadable!] (restricted)
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  9. Smith, Richard J. & Boswijk, H. Peter, 2002. "Finite sample and asymptotic methods in econometrics," Journal of Econometrics, Elsevier, vol. 111(2), pages 135-140, December. [Downloadable!] (restricted)

  10. H.Peter Boswijk, 1998. "Book reviews," Econometric Reviews, Taylor and Francis Journals, vol. 17(3), pages 329-334. [Downloadable!] (restricted)

  11. Boswijk, H. Peter & Franses, Philip Hans & Haldrup, Niels, 1997. "Multiple unit roots in periodic autoregression," Journal of Econometrics, Elsevier, vol. 80(1), pages 167-193, September. [Downloadable!] (restricted)
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  12. H. Peter Boswijk & Jean-Pierre Urbain, 1997. "Lagrance-multiplier tersts for weak exogeneity: a synthesis," Econometric Reviews, Taylor and Francis Journals, vol. 16(1), pages 21-38. [Downloadable!] (restricted)

  13. Boswijk, H Peter, 1996. "Testing Identifiability of Cointegrating Vectors," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 153-60, April.

  14. Boswijk, H. Peter, 1995. "Conditional and structural error correction models reply," Journal of Econometrics, Elsevier, vol. 69(1), pages 173-175, September. [Downloadable!] (restricted)

  15. Boswijk, H. Peter, 1995. "Efficient inference on cointegration parameters in structural error correction models," Journal of Econometrics, Elsevier, vol. 69(1), pages 133-158, September. [Downloadable!] (restricted)

  16. Boswijk, H Peter & Franses, Philip Hans, 1995. "Periodic Cointegration: Representation and Inference," The Review of Economics and Statistics, MIT Press, vol. 77(3), pages 436-54, August. [Downloadable!] (restricted)

  17. Peter Boswijk, H. & Franses, Philip Hans, 1995. "Testing for periodic integration," Economics Letters, Elsevier, vol. 48(3-4), pages 241-248, June. [Downloadable!] (restricted)

  18. Peter Boswijk, H., 1994. "Testing for an unstable root in conditional and structural error correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 37-60, July. [Downloadable!] (restricted)

  19. Boswijk, Peter, 1993. "On the Formulation of Wald Tests on Long-Run Parameters," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(1), pages 137-44, February.

  20. Boswijk, Peter & Franses, Philip Hans, 1992. "Dynamic Specification and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 369-81, August.

NEP Fields

18 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2003-10-20
  2. NEP-DEV: Development (1) 2002-01-22
  3. NEP-ECM: Econometrics (11) 1999-05-03 1999-06-08 2000-01-31 2001-10-16 2002-01-22 2002-02-14 2002-03-27 2002-08-10 2003-04-04 2006-04-22 2006-10-07 Author is listed
  4. NEP-ETS: Econometric Time Series (12) 1999-05-03 1999-06-08 2000-01-31 2001-10-16 2001-10-16 2001-12-04 2001-12-04 2002-02-10 2002-03-14 2002-03-14 2003-04-02 2006-10-07 Author is listed
  5. NEP-FIN: Finance (2) 2001-05-02 2003-10-20
  6. NEP-FMK: Financial Markets (2) 2001-05-02 2003-10-20
  7. NEP-IFN: International Finance (2) 2001-05-02 2001-12-04
  8. NEP-MKT: Marketing (1) 2006-04-22
  9. NEP-RMG: Risk Management (1) 2003-10-20
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This page was last updated on 2009-11-20.

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