A FALCON 2000 FO RPTED A XING RESTR UNDERSHOOT DUE TO THE CAPT'S SETTING THE ALTIMETER IMPROPERLY NEAR HPN.

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FLYING THE BONOO 3 ARR INTO HPN. ASSIGNED TO CROSS A FIX AT 17000 FT. WHILE DSNDING THROUGH FL180; I SET MY ALTIMETER TO 29.35 WHICH WAS THE LCL ALTIMETER. I STATED 'LEAVING 18000FT' AND STATED THE ALTIMETER WAS 29.35. I ALSO HAD 29.35 SET IN THE STANDBY ALTIMETER. I PUT THAT IN WHEN WE WERE GIVEN THE XING RESTR AND ALTIMETER SETTING. I THEN WENT OFF ON THE OTHER RADIO TO OBTAIN THE ATIS RPT AT HPN. I ANNOUNCED MY INTENTIONS WITH THE CAPT WHICH HE ACKNOWLEDGED AS OK. DURING THIS TIME; THE CAPT HAD INCORRECTLY SET HIS ALTIMETER TO 30.35. I DID NOT REALIZE THIS AND IT RESULTED IN BEING 1000 FT BELOW THE XING RESTR. WHEN ATC ADVISED US OF THE ALTDEV; I FIRST THOUGHT IT WAS AN INCORRECT XPONDER READOUT. I THEN SAW THE CAPT'S ALTIMETER SETTING. I TOLD HIM IT WAS INCORRECT. HE RESET HIS XPONDER AND THE FLT CONTINUED WITHOUT INCIDENT. THE CAPT WAS AWARE OF THE CORRECT ALTIMETER SETTING. I MENTIONED IT 3 TIMES TO HIM; HE JUST SET IT WRONG. I DON'T THINK HE WAS LOOKING FOR THE 29 PORTION OF THE ALTIMETER SETTING. HE WAS JUST LOOKING AT THE 35 PORTION.