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Home | People | Peter Boswijk
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Peter Boswijk

Research Fellow

University
University of Amsterdam
Research field
Econometrics
Interests
Econometric Theory, Econometrics, Financial Econometrics, Panel Data, Time Series Econometrics

Key publications

List of publications

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. 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. 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. (2006). Robust inference on average economic growth. Oxford Bulletin of Economics and Statistics, 68(3):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. (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.

Boswijk, H. (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.

Boswijk, H., Franses, P. and Haldrup, N. (1997). Multiple unit roots in periodic autoregression Journal of Econometrics, 80(1):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.

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

Boswijk, H. and Franses, P. (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(1):37--60.

Boswijk, H. (1993). On the formulation of Wald tests on long-run parameters Oxford Bulletin of Economics and Statistics, 55(1):137--144.

Boswijk, H. and Franses, P. (1992). Dynamic specification and cointegration Oxford Bulletin of Economics and Statistics, 54(3):369--381.

Boswijk, H. (1991). Optimal structural estimation of triangular systems: I. The stationary case Econometric Theory, 7(3):428--431.

Boswijk, H. (1991). Estimation and testing in linear models with singular covariance matrices Econometric Theory, 7:159--162.

Philips, P., Dolado, J. and Boswijk, H. (1991). Optimal structural estimation of triangular systems: II. The nonstationary case Econometric Theory, 7(4):549--558.

Boswijk, H. and Neudecker, H. (1990). Property of a matrix used in multidimensional scaling Econometric Theory, 6(2):285--285.