Robin Lumsdaine

Research Fellow

Erasmus University Rotterdam

Econometrics

Ageing, Applied Econometrics, Banking, Econometric Methodology

Key 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.

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.

Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH (1,1) and covariance stationary GARCH (1,1)

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.

Recursive and sequential test of the unit root and trend break hypotheses: theory and international evidence

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.