Full Professor

prof.dr. R.L. Lumsdaine

Erasmus School of Economics

Econometrics

Erasmus University Rotterdam

Room: -

T: ,

E: lumsdaine@ese.eur.nl

  • Lumsdaine, R.L. & Vermeer, S.J.C. (2015). Retirement timing of women and the role of caring responsibilities for grandchildren. Demography, 52 (2), 433-454.
  • Lumsdaine, R.L. & 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., Ben-David, D. & Papell, D.H. (2003). The unit root hypothesis is long-term output: evidence from two structural breaks for 16 countries. Empirical Economics (Heidelberg), 28 (2), 303-319.
  • Lumsdaine, R.L. & Spanous, A. (2003). Comment on 'statistical adequancy and the testing of trend versus difference stationarity'. Econometric Reviews, 22 (3), 247-252.
  • Lumsdaine, R.L. & Prasad, S. (2003). Identifying the common component in international economic fluctuations. The Economic Journal, 113, 101-127.
  • Lumsdaine, R.L., Bekaert, G. & Harvey, C.R. (2002). The dynamics of emerging market equity flows. Journal of International Money and Finance, 21 (3), 327-363.
  • Lumsdaine, R.L., Bekaert, G. & Harvey, C.R. (2002). Dating the integration of world equity markets. Journal of Financial Economics, 21 (3), 295-350.
  • Lumsdaine, R.L. & Bassett, F. (2001). Probability limits: are subjective assessments adequately accurate? Journal of Human Resources, 36 (2), 327-363.
  • Lumsdaine, R.L. & Bai, J. (1998). Testing for and dating common breaks in multivariate time series. Review of Economic Studies, 65 (3), 395-432.
  • Lumsdaine, R.L., Jones, C.M. & Lamont, O. (1998). Macroeconomic news and bond market volatility. Journal of Financial Economics, 47 (3), 315-337.
  • Lumsdaine, R.L. & Papell, D.H. (1997). Multiple trend breaks and the unit root hypothesis. The Review of Economics and Statistics, LXXIX (2), 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 (3), 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., Banerjee, A. & 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. (2003). Correlation, models, and risk management in challenging times. Journal of Financial Econometrics, 40-51.

Full Professor

University Erasmus University Rotterdam
School Erasmus School of Economics
Department Econometrics
Country The Netherlands

Full Professor

University Erasmus University Rotterdam
School Erasmus School of Economics
Department Econometrics
Country The Netherlands

Address

Visiting address
Postal address
Campus Woudestein Postbus 1738
Burgemeester Oudlaan 50 3000 DR Rotterdam
3062 PA Rotterdam