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Home | People | Robin Lumsdaine

Robin Lumsdaine

Research Fellow

Erasmus University Rotterdam
Research field
Ageing, Applied Econometrics, Banking, Econometric Methodology

Key publications

List of publications

Lumsdaine,R.L. and Potter van Loon,R.J.D.. 2017. Do Survey Probabilities Match Financial Market Beliefs?. Journal of Behavioral Finance, 19, 209--220

Lumsdaine,R.L. and van Dijk,D.J.C. and van der Wel,M.. 2016. Market Set-Up in Advance of Federal Reserve Policy Decisions. Economic Journal, 126, 618--653

Lumsdaine,R.L. 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.L. and Prasad,S.. 2003. Identifying the common component in international economic fluctuations. Economic Journal, 113, 101--127

Lumsdaine,R.L.. 2003. Comment on 'Statistical Adequacy and the Testing of Trend versus Difference Stationarity'. Econometric Reviews, 22, 247--252

Lumsdaine,R.L.. 2003. Correlation, models, and risk management in challenging times. Journal of Financial Econometrics, 40--51

Lumsdaine,R.L. and Bekaert,G. and Harvey,C.R.. 2002. Dating the integration of world equity markets. Journal of Financial Economics, 21, 295--350

Lumsdaine,R.L. and Bekaert,G. and Harvey,C.R.. 2002. The dynamics of emerging market equity flows. Journal of International Money and Finance, 21, 327--363

Lumsdaine,R.L. and Bassett,F.. 2001. Probability limits: are subjective assessments adequately accurate?. Journal of Human Resources, 36, 327--363

Lumsdaine,R.L. and Ng,S.G.. 1999. Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean. Journal of Econometrics, 93, 257--279

Lumsdaine,R.L. and Jones,C.M. and Lamont,O.. 1998. Macroeconomic news and bond market volatility. Journal of Financial Economics, 47, 315--337

Lumsdaine,R.L. and Bai,J.. 1998. Testing for and dating common breaks in multivariate time series. Review of Economic Studies, 65, 395--432

Lumsdaine,R.L. and Papell,D.H.. 1997. Multiple trend breaks and the unit root hypothesis. Review of Economics and Statistics, LXXIX, 212--218

Lumsdaine,R.L.. 1996. Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH (1,1) and covariance stationary GARCH (1,1). Econometrica, 64, 575--596

Lumsdaine,R.L.. 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

Lumsdaine,R.L. and Banerjee,A. and Stock,J.H.. 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.L. and Stock,J.H. and Wise,D.A.. 1990. Efficient Windows and Labor Force Reduction. Journal of Public Economics, 43, 131--159