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H. Peter Boswijk

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Personal Details

First Name:H. Peter
Middle Name:
Last Name:Boswijk
Suffix:
RePEc Short-ID:pbo14
http://www.uva.nl/profile/h.p.boswijk
Amsterdam School of Economics University of Amsterdam Valckenierstraat 65-67 1018 XE Amsterdam The Netherlands
+31 20 525 4316
Amsterdam, Netherlands
http://www.tinbergen.nl/

: +31 (0)20 598 4580

Gustav Mahlerplein 117, 1082 MS Amsterdam
RePEc:edi:tinbenl (more details at EDIRC)
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  1. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers 13-13, University of Copenhagen. Department of Economics.
  2. Kees Jan van Garderen & H. Peter Boswijk, 2013. "Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors," UvA-Econometrics Working Papers 13-05, Universiteit van Amsterdam, Dept. of Econometrics.
  3. H. Peter Boswijk & Michael Jansson & Morten Ørregaard Nielsen, 2012. "Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model," Working Papers 1297, Queen's University, Department of Economics.
  4. H.P. Boswijk & D. Fok & P.-H. Franses, 2006. "A New Multivariate Product Growth Model," Tinbergen Institute Discussion Papers 06-027/4, Tinbergen Institute.
  5. Boswijk, H.P. & Weide, R. van der, 2006. "Wake me up before you GO-GARCH," CeNDEF Working Papers 06-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  6. Boswijk, H.P. & Hommes C.H. & Manzan, S., 2005. "Behavioral Heterogeneity in Stock Prices," CeNDEF Working Papers 05-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  7. H. Peter Boswijk & Franc Klaassen, 2005. "Why Frequency Matters for Unit Root Testing," Tinbergen Institute Discussion Papers 04-119/4, Tinbergen Institute.
  8. 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.
  9. 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.
  10. 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.
  11. H. Peter Boswijk, 2001. "Block Local to Unity and Continuous Record Asymptotics," Tinbergen Institute Discussion Papers 01-078/4, Tinbergen Institute.
  12. 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.
  13. H. Peter Boswijk, 2000. "Testing for a Unit Root with Near-Integrated Volatility," Econometric Society World Congress 2000 Contributed Papers 1101, Econometric Society.
  14. H. Peter Boswijk & Philip Hans Franses & Dick van Dijk, 2000. "Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models," Econometric Society World Congress 2000 Contributed Papers 0765, Econometric Society.
  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.
  16. 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.
  17. Boswijk, H. Peter & Lucas, André & 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.
  18. Boswijk, H. Peter & Lucas, André, 1997. "Semi-nonparametric cointegration testing," Serie Research Memoranda 0041, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  19. Franses, P.H. & Boswijk, H.P., 1993. "Temporal aggregation in a periodically integrated autoregressive process," Research Memorandum 2ef3689d-9fa6-419a-850e-5, Tilburg University, School of Economics and Management.
  20. 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.
  1. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
  2. Boswijk, H. Peter & Jansson, Michael & Nielsen, Morten Ørregaard, 2015. "Improved likelihood ratio tests for cointegration rank in the VAR model," Journal of Econometrics, Elsevier, vol. 184(1), pages 97-110.
  3. H. Peter Boswijk & Franc Klaassen, 2011. "Why Frequency Matters for Unit Root Testing in Financial Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 351-357, September.
  4. Boswijk, H. Peter, 2010. "Mixed Normal Inference On Multicointegration," Econometric Theory, Cambridge University Press, vol. 26(05), pages 1565-1576, October.
  5. Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick, 2010. "Twenty years of cointegration," Journal of Econometrics, Elsevier, vol. 158(1), pages 1-2, September.
  6. Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick, 2010. "Cointegration in a historical perspective," Journal of Econometrics, Elsevier, vol. 158(1), pages 156-159, September.
  7. Boswijk, H. Peter, 2010. "Nuisance parameter free inference on cointegration parameters in the presence of a variance shift," Economics Letters, Elsevier, vol. 107(2), pages 190-193, May.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. Boswijk, H. Peter & Lucas, Andre, 2002. "Semi-nonparametric cointegration testing," Journal of Econometrics, Elsevier, vol. 108(2), pages 253-280, June.
  16. 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.
  17. Boswijk, H. Peter, 2000. "Mixed Normality And Ancillarity In I(2) Systems," Econometric Theory, Cambridge University Press, vol. 16(06), pages 878-904, December.
  18. H.Peter Boswijk, 1998. "Book reviews," Econometric Reviews, Taylor & Francis Journals, vol. 17(3), pages 329-334.
  19. Boswijk, H. Peter & Lu, Maozo, 1997. "Roots of an Orthogonal Matrix—Solution," Econometric Theory, Cambridge University Press, vol. 13(06), pages 894-895, December.
  20. H. Peter Boswijk & Jean-Pierre Urbain, 1997. "Lagrance-multiplier tersts for weak exogeneity: a synthesis," Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 21-38.
  21. 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.
  22. Franses, Philip Hans & Boswijk, H. Peter, 1996. "Temporal aggregation in a periodically integrated autoregressive process," Statistics & Probability Letters, Elsevier, vol. 30(3), pages 235-240, October.
  23. Boswijk, H Peter, 1996. "Testing Identifiability of Cointegrating Vectors," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 153-60, April.
  24. 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.
  25. Peter Boswijk, H. & Franses, Philip Hans, 1995. "Testing for periodic integration," Economics Letters, Elsevier, vol. 48(3-4), pages 241-248, June.
  26. 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.
  27. Boswijk, H. Peter, 1995. "Conditional and structural error correction models reply," Journal of Econometrics, Elsevier, vol. 69(1), pages 173-175, September.
  28. Boswijk, Peter & Neudecker, Heinz, 1994. "An Inequality Between Perpendicular Least-Squares and Ordinary Least-Squares," Econometric Theory, Cambridge University Press, vol. 10(02), pages 441-442, June.
  29. 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.
  30. 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.
  31. 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.
  32. Boswijk, H. Peter, 1991. "Optimal Structural Estimation of Triangular Systems: I. The Stationary Case," Econometric Theory, Cambridge University Press, vol. 7(03), pages 428-431, September.
  33. Phillips, Peter C.B. & Dolado, Juan J. & Boswijk, H. Peter, 1991. "Optimal Structural Estimation of Triangular Systems: II. The Nonstationary Case," Econometric Theory, Cambridge University Press, vol. 7(04), pages 549-558, December.
  34. Boswijk, H.P. & Neudecker, H., 1990. "Property of a Matrix Used in Multidimensional Scaling," Econometric Theory, Cambridge University Press, vol. 6(02), pages 285-285, June.
19 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-ECM: Econometrics (9) 1999-05-03 2001-10-16 2002-02-14 2002-03-27 2003-04-04 2006-10-07 2012-09-30 2013-08-31 2013-12-29. Author is listed
  3. NEP-ETS: Econometric Time Series (10) 1999-05-03 2001-10-16 2001-12-04 2001-12-04 2003-04-02 2006-10-07 2012-09-30 2013-08-31 2013-12-29 2015-04-25. Author is listed
  4. NEP-FIN: Finance (1) 2003-10-20
  5. NEP-FMK: Financial Markets (2) 2001-05-02 2003-10-20
  6. NEP-IFN: International Finance (2) 2001-05-02 2001-12-04
  7. NEP-MKT: Marketing (1) 2006-04-22
  8. NEP-ORE: Operations Research (1) 2013-12-29
  9. NEP-RMG: Risk Management (1) 2003-10-20
This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
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