prof.dr. R.L. Lumsdaine

prof.dr. R.L. Lumsdaine
Full Professor Erasmus School of Economics Econometrics
Location
Burg. Oudlaan 50, Rotterdam
Room
E T-48
Telephone
+31 10 4081424
Email
lumsdaine@ese.eur.nl

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      • R.L. Lumsdaine & R.J.D. Potter van Loon (2017). Do Survey Probabilities Match Financial Market Beliefs? Journal of Behavioral Finance, 19 (2), 209-220. doi: 10.1080/15427560.2017.1376330
      • R.L. Lumsdaine, D.J.C. van Dijk & M. van der Wel (2016). Market Set-Up in Advance of Federal Reserve Policy Decisions. The Economic Journal, 126 (592), 618-653. doi: 10.1111/ecoj.12372
      • R.L. Lumsdaine & S.J.C. Vermeer (2015). Retirement timing of women and the role of caring responsibilities for grandchildren. Demography, 52 (2), 433-454. doi: 10.1007/s13524-015-0382-5
      • R.L. Lumsdaine & A. Exterkate (2013). How survey design affects self-assessed health responses in the survey of health. European Economic Review, 63, 299-307. doi: 10.1016/j.euroecorev.2013.06.002
      • R.L. Lumsdaine (2003). Correlation, models, and risk management in challenging times. Journal of Financial Econometrics, 40-51.
      • R.L. Lumsdaine, D. Ben-David & D.H. Papell (2003). The unit root hypothesis is long-term output: evidence from two structural breaks for 16 countries. Empirical Economics: A quarterly journal of the Institute for Advanced Studies, 28 (2), 303-319.
      • R.L. Lumsdaine & S. Prasad (2003). Identifying the common component in international economic fluctuations. The Economic Journal, 113, 101-127.
      • R.L. Lumsdaine (2003). Comment on 'Statistical Adequacy and the Testing of Trend versus Difference Stationarity'. Econometric Reviews, 22 (3), 247-252.
      • R.L. Lumsdaine, G. Bekaert & C.R. Harvey (2002). The dynamics of emerging market equity flows. Journal of International Money and Finance, 21 (3), 327-363.
      • R.L. Lumsdaine, G. Bekaert & C.R. Harvey (2002). Dating the integration of world equity markets. Journal of Financial Economics, 21 (3), 295-350.
      • R.L. Lumsdaine & F. Bassett (2001). Probability limits: are subjective assessments adequately accurate? Journal of Human Resources, 36 (2), 327-363.
      • R.L. Lumsdaine & S.G. Ng (1999). Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean. Journal of Econometrics, 93 (2), 257-279. doi: 10.1016/S0304-4076(99)00011-1
      • R.L. Lumsdaine, C.M. Jones & O. Lamont (1998). Macroeconomic news and bond market volatility. Journal of Financial Economics, 47 (3), 315-337.
      • R.L. Lumsdaine & J. Bai (1998). Testing for and dating common breaks in multivariate time series. Review of Economic Studies, 65 (3), 395-432.
      • R.L. Lumsdaine & D.H. Papell (1997). Multiple trend breaks and the unit root hypothesis. The Review of Economics and Statistics, LXXIX (2), 212-218.
      • R.L. Lumsdaine (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.
      • R.L. Lumsdaine (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.
      • R.L. Lumsdaine, A. Banerjee & J.H. Stock (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.
      • R.L. Lumsdaine, J.H. Stock & D.A. Wise (1990). Fenetres et Retraites. Annales d'Economie et de Statistique, 20-21, 219-242.
      • R.L. Lumsdaine, J.H. Stock & D.A. Wise (1990). Efficient Windows and Labor Force Reduction. Journal of Public Economics, 43, 131-159.
      • R.L. Lumsdaine & A. Golan (2016). On the construction of prior information - An info-metrics approach. In G. Gonzalez-Rivara, R.C. Hill & T.-H. Lee (Eds.), Advances in Econometrics-Essay in Honor of Aman Ullah (36) (pp. 277-314). Bingley, Uk: Emerald Publishing Group
      • R.L. Lumsdaine & O.S. Mitchell (1999). New Developments in the Economic Analysis of Retirement. In O. Ashenfelter & D. Card (Eds.), Handbook of Labor Economics (3) (pp. 3261-3307). Amsterdam: Elsevier Science
      • R.L. Lumsdaine (1996). On the affecting labor supply decisions and retirement income. In E. Hanushek & N. Maritato (Eds.), Assessing knowledge of retirement behavior (pp. 61-22). Washington, DC: National Academy Press
      • R.L. Lumsdaine, J.H. Stock & D.A. Wise (1996). Why are Retirements Rates so High at Age 65? In D.A. Wise (Ed.), Advances in the Economics of Aging. Chicago: University of Chicago Press
      • R.L. Lumsdaine, J.H. Stock & D.A. Wise (1996). Retirement Incentives: The Interaction between Employer-Provided Pensions, Social Security , and Retiree Health Benefits. In M. Hurd & N. Yashiro (Eds.), The Economics of Aging in the United states and Japan (pp. 261-293). Chicago: University of Chicago Press
      • R.L. Lumsdaine (1996). Factors Affecting Labor Supply Decisions and Retirement Incom. In E.A. Hanushek & N.L. Maritato (Eds.), Assessing Knowledge of Retirement Behaviour. Washington DC: National Academy Press
      • R.L. Lumsdaine, J.H. Stock & D.A. Wise (1994). Pension Plan Provisions and Retirement: Men and Women, Medicare and Models. In D.A. Wise (Ed.), Studies in the Economics of Aging. Chicago: University of Chicago Press
      • R.L. Lumsdaine & D.A. Wise (1994). Aging and Labor Force Participation: A review of Trends and Explanations. In Y. Noguchi & D.A. Wise (Eds.), Aging in the United States and Japan: Economic Trend. Chicago: University of Chicago Press
      • R.L. Lumsdaine, J.H. Stock & D.A. Wise (1992). Three Models of Retirement: Computational Complexity versus Predictive Validity. In D.A. Wise (Ed.), Topics in the Econoimics of Aging. Chicago: University of Chicago Press
      • R.L. Lumsdaine (2017). Econometric Perceptions and Complexities (2017, juni 9). Rotterdam: Econometric Intsitute
  • American University - KOGOD School of Business

    Start date approval
    Jan/2017
    End date approval
    Dec/2019
    Place
    WASHINGTON
    Specialty
    Applied Econometrics

    Center of Financial Stability

    Start date approval
    Jan/2017
    End date approval
    Dec/2019
    Place
    NEW YORK
    Description
    senior fellow
    Specialty
    Applied Econometrics

    National Bureau of Economic Research

    Start date approval
    Jan/2017
    End date approval
    Dec/2019
    Place
    MASSACHUSETTS
    Description
    Attending conferences
    Specialty
    Applied Econometrics

    Netspar

    Start date approval
    Jan/2017
    End date approval
    Dec/2019
    Place
    TILBURG
    Description
    Attending conferences
    Specialty
    Applied Econometrics

    New York University

    Start date approval
    Jan/2017
    End date approval
    Dec/2019
    Place
    NEW YORK
    Description
    Research Affiliate, Volatility Institute
    Specialty
    Applied Econometrics

    Oxford University Press

    Start date approval
    Jan/2017
    End date approval
    Dec/2019
    Place
    OXFORD
    Description
    Editor of the journal
    Specialty
    Applied Econometrics

    Society for Financial Econometrics (SoFIE)

    Start date approval
    Jan/2017
    End date approval
    Dec/2019
    Place
    NEW YORK
    Description
    Member of Governing Council
    Specialty
    Applied Econometrics

    Universiteit Tilburg

    Start date approval
    Jul/2018
    End date approval
    Dec/2020
    Place
    TILBURG
    Description
    Collaboration on grant
    Specialty
    Applied Econometrics

    University of Portsmouth

    Start date approval
    Jan/2017
    End date approval
    Dec/2019
    Place
    PORTSMOUTH
    Description
    unpaid Visiting Professor
    Specialty
    Applied Econometrics

    US Department of the Treasury

    Start date approval
    Jan/2017
    End date approval
    Dec/2019
    Place
    WASHINGTON
    Specialty
    Applied Econometrics
  • Seminar in Econometrics

    Title
    Seminar in Econometrics
    Year
    2018
    Year level
    (bachelor 3) (bachelor 3) (bachelor 4)

    Seminar in Financial Econometrics

    Title
    Seminar in Financial Econometrics
    Year
    2018
    Year level
    (bachelor 3) (bachelor 3) (bachelor 4)
    • Myrthe van Dieijen

      Reading between the lines: empirical studies on the relation between user-generated content and marketing

  • Full Professor

    University
    Erasmus University Rotterdam
    School
    Erasmus School of Economics
    Department
    Econometrics
    Country
    Nederland
    Telephone
    +31 10 4081424

    Full Professor

    University
    Erasmus University Rotterdam
    School
    Erasmus School of Economics
    Department
    Econometrics
    Country
    Nederland
    Telephone
    +31 10 4081424

Address

Visiting address

Burg. Oudlaan 50 3062 PA Rotterdam

Postal address

Postbus 1738 3000 DR Rotterdam