Lumsdaine, R., Okui, R. and Wang, W. (2023). Estimation of panel group structure models with structural breaks in group memberships and coefficients Journal of Econometrics, 233(1):45--65.
Robin Lumsdaine
University
Erasmus University Rotterdam
E-mail
Research field
Econometrics
Interests
Ageing, Applied Econometrics, Banking, Econometric Methodology
Website
Key publications
van Dijk, D., Lumsdaine, R. and van der Wel, M. (2016). Market set-up in advance of Federal Reserve policy rate decisions Economic Journal, 126(592):618--653.
Lumsdaine, R. and Prasad, S. (2003). Identifying the common component in international economic fluctuations Economic Journal, 113:101--127.
Bekaert, G., Lumsdaine, R. and Harvey, C. (2002). Dating the integration of world equity markets Journal of Financial Economics, 21(3):295--350.
Bassett, W. and Lumsdaine, R. (2001). Probability limits: are subjective assessments adequately accurate? Journal of Human Resources, 36(2):327--363.
Lumsdaine, R. and Ng, S. (1999). Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean Journal of Econometrics, 93(2):257--279.
Jones, C., Lumsdaine, R. and Lamont, O. (1998). Macroeconomic news and bond market volatility Journal of Financial Economics, 47(3):315--337.
Bai, J., Lumsdaine, R. and Stock, J. (1998). Testing for and dating common breaks in multivariate time series Review of Economic Studies, 65(3):395--432.
Lumsdaine, R. and Papell, D. (1997). Multiple trend breaks and the unit root hypothesis Review of Economics and Statistics, LXXIX(2):212--218.
Lumsdaine, R. (1996). Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH (1,1) and covariance stationary GARCH (1,1) Econometrica, 64(3):575--596.
Lumsdaine, R. (1995). Finite sample properties of the maximum likelihood Estimator in GARCH (1,1) and IGARCH (1,1) models: A Monte Carlo investigation Journal of Business and Economic Statistics, 13:1--10.
Banerjee, A., Lumsdaine, R. and Stock, J. (1992). Recursive and sequential test of the unit root and trend break hypotheses: theory and international evidence Journal of Business and Economic Statistics, 10:271--288.
Lumsdaine, R., Stock, J. and Wise, D. (1990). Efficient Windows and Labor Force Reduction Journal of Public Economics, 43:131--159.
List of publications
Lumsdaine, R., Okui, R. and Wang, W. (2023). Estimation of panel group structure models with structural breaks in group memberships and coefficients Journal of Econometrics, 233(1):45--65.
Flood, M., Lumsdaine, R., Kenett, D. and Simon, J. (2020). The Complexity of Bank Holding Company Resolution: A Topological Approach Journal of Banking and Finance, 118(September):.
Lumsdaine, R., Rockmore, D., Foti, N., Leibon, G. and Farmer, J. (2020). The Intrafirm Complexity of Systemically Important Financial Institutions Journal of Financial Stability, 52:.
Lumsdaine, R. and Potter van Loon, R. (2017). Do Survey Probabilities Match Financial Market Beliefs? Journal of Behavioral Finance, 19(2):209--220.
van Dijk, D., Lumsdaine, R. and van der Wel, M. (2016). Market set-up in advance of Federal Reserve policy rate decisions Economic Journal, 126(592):618--653.
Lumsdaine, R. and Exterkate, A. (2013). How survey design affects self-assessed health responses in the survey of health European Economic Review, 63:299--307.
Lumsdaine, R. (2003). Comment on 'Statistical Adequacy and the Testing of Trend versus Difference Stationarity' Econometric Reviews, 22(3):247--252.
Lumsdaine, R. (2003). Correlation, models, and risk management in challenging times Journal of Financial Econometrics, :40--51.
Ben-David, D., Lumsdaine, R. and Papell, D. (2003). The unit root hypothesis is long-term output: evidence from two structural breaks for 16 countries Empirical Economics, 28(2):303--319.
Lumsdaine, R. and Prasad, S. (2003). Identifying the common component in international economic fluctuations Economic Journal, 113:101--127.
Bekaert, G., Lumsdaine, R. and Harvey, C. (2002). Dating the integration of world equity markets Journal of Financial Economics, 21(3):295--350.
Bekaert, G., Lumsdaine, R. and Harvey, C. (2002). The dynamics of emerging market equity flows Journal of International Money and Finance, 21(3):327--363.
Bassett, W. and Lumsdaine, R. (2001). Probability limits: are subjective assessments adequately accurate? Journal of Human Resources, 36(2):327--363.
Lumsdaine, R. and Ng, S. (1999). Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean Journal of Econometrics, 93(2):257--279.
Jones, C., Lumsdaine, R. and Lamont, O. (1998). Macroeconomic news and bond market volatility Journal of Financial Economics, 47(3):315--337.
Bai, J., Lumsdaine, R. and Stock, J. (1998). Testing for and dating common breaks in multivariate time series Review of Economic Studies, 65(3):395--432.
Lumsdaine, R. and Papell, D. (1997). Multiple trend breaks and the unit root hypothesis Review of Economics and Statistics, LXXIX(2):212--218.
Lumsdaine, R. (1996). Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH (1,1) and covariance stationary GARCH (1,1) Econometrica, 64(3):575--596.
Lumsdaine, R. (1995). Finite sample properties of the maximum likelihood Estimator in GARCH (1,1) and IGARCH (1,1) models: A Monte Carlo investigation Journal of Business and Economic Statistics, 13:1--10.
Banerjee, A., Lumsdaine, R. and Stock, J. (1992). Recursive and sequential test of the unit root and trend break hypotheses: theory and international evidence Journal of Business and Economic Statistics, 10:271--288.
Lumsdaine, R., Stock, J. and Wise, D. (1990). Efficient Windows and Labor Force Reduction Journal of Public Economics, 43:131--159.