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Home | People | Peter Boswijk
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Peter Boswijk

Research Fellow

University
University of Amsterdam
Researchgroup
Econometrics
Interests
econometric theory, econometrics, financial econometrics, panel data, time series econometrics

Key publications

List of publications

H.P. Boswijk and M.J.G. Bun and M.P. Schinkel. 2019. Cartel Dating. Journal of Applied Econometrics, 34, 26--42, 0883-7252

H.P. Boswijk and R.J.A. Laeven and X. Yang. 2018. Testing for self-excitation in jumps. Journal of Econometrics, 203, 256--266, 0304-4076

H.P. Boswijk and Y. Zu. 2018. Adaptive wild bootstrap tests for a unit root with non-stationary volatility. Econometrics Journal, 21, 87--113, 1368-423X

Y. Zu and H.P. Boswijk. 2017. Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. Journal of Empirical Finance, 41, 53--75, 0927-5398

H.P. Boswijk and G. Cavaliere and A. Rahbek and A.M.R. Taylor. 2016. Inference on co-integration parameters in heteroskedastic vector autoregressions. Journal of Econometrics, 192, 64--85, 0304-4076

H.P. Boswijk and M. Jansson and M.\O. Nielsen. 2015. Improved likelihood ratio tests for cointegration rank in the VAR model. Journal of Econometrics, 184, 97--110, 0304-4076

Y. Zu and H.P. Boswijk. 2014. Estimating spot volatility with high-frequency financial data. Journal of Econometrics, 181, 117--135, 0304-4076

van Garderen, K.J. and H.P. Boswijk. 2014. Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors. Economics Letters, 122, 224--228, 0165-1765

H.P. Boswijk and F. Klaassen. 2012. Why frequency matters for unit root testing in financial time series. Journal of Business \& Economic Statistics, 30, 351--357, 0735-0015

H.P. Boswijk and van der Weide, R.. 2011. Method of moments estimation of GO-GARCH models. Journal of Econometrics, 163, 118--126, 0304-4076

H.P. Boswijk and P.H. Franses and van Dijk, D.. 2010. Cointegration in a historical perspective. Journal of Econometrics, 158, 156--159, 0304-4076

H.P. Boswijk. 2010. Mixed normal inference on multicointegration. Econometric Theory, 26, 1565--1576, 0266-4666

H.P. Boswijk. 2010. Nuisance parameter free inference on cointegration parameters in the presence of a variance shift. Economics Letters, 107, 190--193, 0165-1765

H.P. Boswijk and C.H. Hommes and S. Manzan. 2007. Behavioral heterogeneity in stock prices. Journal of Economic Dynamics \& Control, 31, 1938--1970, 0165-1889

L. Bauwens and H.P. Boswijk and J.P. Urbain. 2006. Causality and exogeneity in econometrics (guest editorial). Journal of Econometrics, 132, 305--309, 0304-4076

H.P. Boswijk and P.H. Franses. 2006. Robust inference on average economic growth. Oxford Bulletin of Economics and Statistics, 68, 345--370, 0305-9049

H.P. Boswijk and J.A. Doornik. 2005. Distribution approximations for cointegration tests with stationary exogenous regressors. Journal of Applied Econometrics, 20, 797--810, 0883-7252

H.P. Boswijk and P.H. Franses. 2005. On the econometrics of the Bass diffusion model. Journal of Business \& Economic Statistics, 23, 255--268, 0735-0015

R.J.H. Smith and H.P. Boswijk. 2002. Finite sample and asymptotic methods in econometrics. Journal of Econometrics, 111, 135--140, 0304-4076

H.P. Boswijk and A. Lucas. 2002. Semi-nonparametric cointegration testing. Journal of Econometrics, 108, 253--280, 0304-4076

H.P. Boswijk. 2000. Mixed Normality and Ancillarity in I(2) Systems. Econometric Theory, 878--904, 0266-4666

H.P. Boswijk. 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, 329--334, 0747-4938

H.P. Boswijk. 1998. Review of 'Elements of modern asymptotic theory with statistical applications' [Review of: B. McCabe, A. Tremayne. Elements of modern asymptotic theory with statistical applications]. Econometric Reviews, 17, 329--334, 0747-4938

H.P. Boswijk and P.H. Franses and N. Haldrup. 1997. Multiple unit roots in periodic autoregression.. Journal of Econometrics, 80, 167--193, 0304-4076

H.P. Boswijk and J.P. Urbain. 1997. Lagrange-multiplier tests for weak exogeneity: a synthesis.. Econometric Reviews, 16, 21--38, 0747-4938

H.P. Boswijk and M. Lu. 1997. Roots of an orthogonal matrix - solution.. Econometric Theory, 13, 894--895, 0266-4666

H.P. Boswijk. 1996. Testing identifiablility of cointegrating vectors. Journal of Business \& Economic Statistics, 14, 153--160, 0735-0015

H.P. Boswijk. 1995. Conditional and structural error correction models: Reply. Journal of Econometrics, 69, 173--175, 0304-4076

H.P. Boswijk. 1995. Efficient inference on cointegration parameters in structural error correction models. Journal of Econometrics, 69, 133--158, 0304-4076

H.P. Boswijk and P.H. Franses. 1995. Periodic cointegration: Representation and inference. Review of Economics and Statistics, LXXVII, 436--454, 0034-6535

H.P. Boswijk and P.H. Franses. 1995. Testing for periodic integration. Economics Letters, 48, 241--248, 0165-1765

H.P. Boswijk. 1994. Testing for an unstable root in conditional and structural error correction models. Journal of Econometrics, 63, 37--60, 0304-4076

P. Boswijk and H. Neudecker. 1994. An inequality between perpendicular least-squares and ordinary least-squares. Econometric Theory, 10, 441--442, 0266-4666

H.P. Boswijk. 1993. On the formulation of Wald tests on long-run parameters. Oxford Bulletin of Economics and Statistics, 55, 137--144, 0305-9049

H.P. Boswijk and P.H. Franses. 1992. Dynamic specification and cointegration. Oxford Bulletin of Economics and Statistics, 54, 369--381, 0305-9049

H.P. Boswijk. 1991. Optimal structural estimation of triangular systems: I. The stationary case. Econometric Theory, 7, 428--431, 0266-4666

H.P. Boswijk. 1991. Estimation and testing in linear models with singular covariance matrices. Econometric Theory, 7, 159--162, 0266-4666

P.C.B. Philips and J.J. Dolado and H.P. Boswijk. 1991. Optimal structural estimation of triangular systems: II. The nonstationary case. Econometric Theory, 7, 549--558, 0266-4666

H.P. Boswijk and H. Neudecker. 1990. Property of a matrix used in multidimensional scaling. Econometric Theory, 6, 285--285, 0266-4666

H.P. Boswijk and P.H. Franses and van Dijk, D.. 2010. Twenty years of cointegration. Journal of Econometrics, 158, 1--2, 0304-4076