![Bootstrapping non-stationary stochastic volatility](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_0304-4076-40.jpg)
![placeholder](https://tinbergen.nl/media/cache/person_profile_image_top/media/person/image/5c76664b50ce7709b59698a4_c8ezs89430vtzx8mn4j9da-1.jpg)
Peter Boswijk
Key publications
![Bootstrapping non-stationary stochastic volatility](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_0304-4076-40.jpg)
![Cartel Dating](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/36f6eddc164132aeb50d93bed4a16b1c_d9d359cfdae49b7d3acbe0d02a161785_0883-7252.jpg)
![Testing for self-excitation in jumps](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_84424d6e33e8801ce6c2dc4a5dcf34b2_0304-4076.jpg)
![Inference on co-integration parameters in heteroskedastic vector autoregressions](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_eaac76c00900736b9b0f3f85ea70db99_0304-4076.jpg)
![Improved likelihood ratio tests for cointegration rank in the VAR model](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_5cc6adc5483a145268ffe2e6fc89ea59_0304-4076.jpg)
![Estimating spot volatility with high-frequency financial data](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_f3b7e6842fc7bfc992530eb0e6f0b923_0304-4076.jpg)
![Why frequency matters for unit root testing in financial time series](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/383b28e72f2392dca6bad08ddd834c7b_b1cb423103b625a7da5f724f7b5e1abd_0735-0015.jpg)
![Method of moments estimation of GO-GARCH models](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_3d55b16467e14054579c3070cf5076e1_0304-4076.jpg)
![Cointegration in a historical perspective](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_a7216bf91c1678e88814bfac87093420_0304-4076.jpg)
![Twenty years of cointegration](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_9831c0b457177ecd3ac72155f100cb33_0304-4076.jpg)
![Causality and exogeneity in econometrics (guest editorial)](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_7eaa55340559ac9911a927c513daf5e9_0304-4076.jpg)
![Distribution approximations for cointegration tests with stationary exogenous regressors](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/36f6eddc164132aeb50d93bed4a16b1c_15e9386fb0dc93934e48c4c4cfacb71f_0883-7252.jpg)
![On the econometrics of the Bass diffusion model](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/383b28e72f2392dca6bad08ddd834c7b_0735-0015-5.jpg)
![Finite sample and asymptotic methods in econometrics](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_7071093de73db2594ac8fc62308fd451_0304-4076.jpg)
![Semi-nonparametric cointegration testing](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_0304-4076-9.jpg)
![Multiple unit roots in periodic autoregression](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_b365d295d42de9847f3d2602da624b3a_0304-4076.jpg)
![Testing identifiablility of cointegrating vectors](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/383b28e72f2392dca6bad08ddd834c7b_0735-0015.jpg)
![Conditional and structural error correction models: Reply](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_0304-4076.jpg)
![Efficient inference on cointegration parameters in structural error correction models](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_3cc8d64c80056cdea2172c29511f7b8e_0304-4076.jpg)
![Periodic cointegration: representation and inference](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/192e63663596817da9a496c097e7f7cf_24f02d9a9db75fd44b33ad9ed8292e05_0034-6535.jpg)
![Testing for an unstable root in conditional and structural error correction models](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_0304-4076-13.jpg)
List of publications
Boswijk, H.Peter, Cavaliere, G., De Angelis, L. and Taylor, A.M.Robert (2023). Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models Econometric Reviews, 42(9-10):725--757.
Boswijk, H., Cavaliere, G., Georgiev, I. and Rahbek, A. (2021). Bootstrapping non-stationary stochastic volatility Journal of Econometrics, 224(1):161--180.
Boswijk, H., Bun, M. and Schinkel, M. (2019). Cartel Dating Journal of Applied Econometrics, 34(1):26--42.
Boswijk, H., Laeven, R. and Yang, X. (2018). Testing for self-excitation in jumps Journal of Econometrics, 203(2):256--266.
Boswijk, H. and Zu, Y. (2018). Adaptive wild bootstrap tests for a unit root with non-stationary volatility Econometrics Journal, 21(2):87--113.
Zu, Y. and Boswijk, H. (2017). Consistent nonparametric specification tests for stochastic volatility models based on the return distribution Journal of Empirical Finance, 41:53--75.
Boswijk, H., Cavaliere, G., Rahbek, A. and Taylor, A. (2016). Inference on co-integration parameters in heteroskedastic vector autoregressions Journal of Econometrics, 192(1):64--85.
Boswijk, H., Jansson, M. and Nielsen, M. (2015). Improved likelihood ratio tests for cointegration rank in the VAR model Journal of Econometrics, 184(1):97--110.
Zu, Y. and Boswijk, H. (2014). Estimating spot volatility with high-frequency financial data Journal of Econometrics, 181(2):117--135.
van Garderen, K.J. and Boswijk, H. (2014). Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors Economics Letters, 122(2):224--228.
Boswijk, H. and Klaassen, F. (2012). Why frequency matters for unit root testing in financial time series Journal of Business and Economic Statistics, 30(3):351--357.
Boswijk, H. and van der Weide, R. (2011). Method of moments estimation of GO-GARCH models Journal of Econometrics, 163(1):118--126.
Boswijk, H., Franses, P.H. and van Dijk, D. (2010). Cointegration in a historical perspective Journal of Econometrics, 158(1):156--159.
Boswijk, H. (2010). Mixed normal inference on multicointegration Econometric Theory, 26(5):1565--1576.
Boswijk, H., Franses, P.H. and van Dijk, D. (2010). Twenty years of cointegration Journal of Econometrics, 158(1):1--2.
Boswijk, H. (2010). Nuisance parameter free inference on cointegration parameters in the presence of a variance shift Economics Letters, 107(2):190--193.
Boswijk, H., Hommes, C. and Manzan, S. (2007). Behavioral heterogeneity in stock prices Journal of Economic Dynamics and Control, 31(6):1938--1970.
Bauwens, L., Boswijk, H. and Urbain, J. (2006). Causality and exogeneity in econometrics (guest editorial) Journal of Econometrics, 132(2):305--309.
Boswijk, H. and Franses, P.H. (2006). Robust inference on average economic growth. Oxford Bulletin of Economics and Statistics, 68:345--370.
Boswijk, H. and Doornik, J. (2005). Distribution approximations for cointegration tests with stationary exogenous regressors Journal of Applied Econometrics, 20(6):797--810.
Boswijk, H. and Franses, P.H. (2005). On the econometrics of the Bass diffusion model Journal of Business and Economic Statistics, 23(3):255--268.
Smith, R. and Boswijk, H. (2002). Finite sample and asymptotic methods in econometrics Journal of Econometrics, 111:135--140.
Boswijk, H. and Lucas, A. (2002). Semi-nonparametric cointegration testing Journal of Econometrics, 108(2):253--280.
Boswijk, H. (2000). Mixed Normality and Ancillarity in I(2) Systems Econometric Theory, (16):878--904.
Boswijk, H. (1998). Review of 'Elements of Modern Asymptotic Theory with Statistical Applications' [Review of: B. McCabe, A. Tremayne (1993) Elements of Modern Asymptotic Theory with Statistical Applications] Econometric Reviews, 17(3):329--334.
Franses, P.H., Boswijk, H. and Haldrup, N. (1997). Multiple unit roots in periodic autoregression Journal of Econometrics, 80:167--193.
Boswijk, H. and Urbain, J. (1997). Lagrange-multiplier tests for weak exogeneity: a synthesis. Econometric Reviews, 16(1):21--38.
Boswijk, H. and Lu, M. (1997). Roots of an orthogonal matrix - solution. Econometric Theory, 13(6):894--895.
Boswijk, H. (1996). Testing identifiablility of cointegrating vectors Journal of Business and Economic Statistics, 14(2):153--160.
Boswijk, H. (1995). Conditional and structural error correction models: Reply Journal of Econometrics, 69(1):173--175.
Boswijk, H. (1995). Efficient inference on cointegration parameters in structural error correction models Journal of Econometrics, 69(1):133--158.
Franses, P.H. and Boswijk, H. (1995). Periodic cointegration: representation and inference Review of Economics and Statistics, LXXVII(3):436--454.
Franses, P.H. and Boswijk, H. (1995). Testing for periodic integration Economics Letters, 48:241--248.
Boswijk, P. and Neudecker, H. (1994). An inequality between perpendicular least-squares and ordinary least-squares Econometric Theory, 10(2):441--442.
Boswijk, H. (1994). Testing for an unstable root in conditional and structural error correction models Journal of Econometrics, 63:37--60.
Boswijk, H., Neudecker, H. and Liu, S. (1994). A note on the asymptotics of a stochastic vector difference equation Biometrika, 81(1):216--218.
Boswijk, H. (1993). On the formulation of Wald tests on long-run parameters Oxford Bulletin of Economics and Statistics, 55:137--144.
Boswijk, H. and Franses, P. (1992). Dynamic specification and cointegration Oxford Bulletin of Economics and Statistics, 54:369--381.
Boswijk, H. (1991). Optimal structural estimation of triangular systems: I. The stationary case Econometric Theory, 7:428--430.
Boswijk, H. (1991). Estimation and testing in linear models with singular covariance matrices Econometric Theory, 7:159--162.
Boswijk, H. (1991). Optimal structural estimation of triangular systems: II. The nonstationary case Econometric Theory, 7:556--558.
Boswijk, H. and Neudecker, H. (1990). Property of a matrix used in multidimensional scaling Econometric Theory, 6:285--285.