Robin L Lumsdaine

Dados Biográficos

ID5733155
NOMERobin L Lumsdaine
PRENOMESRobin L
SOBRENOMELumsdaine
ASSINATURALUMSDAINE R L
AFILIAÇÕESPrinceton University
VERIFICADONão
TOTAL DE OBRAS7
TOTAL DE CITAÇÕES16
TOTAL COMO AUTOR7
TOTAL COMO EDITOR0
PRIMEIRO ANO DE PUBLICAÇÃO1992
ANO MAIS RECENTE DE PUBLICAÇÃO2024
ÍNDICE H1

  • Sectoral slowdowns in the United Kingdom

    Open AccessEva F Janssens, Eva Janssens et al.ARTICLEJournal of Applied Econometrics2024

    This paper studies spillovers across macroeconomic sectors in the United Kingdom, using data from the Bank of England's Flow of Funds statistics. We combine two different approaches to quantify the spread of economic deterioration to assess whether sectors with large bilateral economic linkages as measured through network data have a greater statistical likelihood of spillovers between them. The combination of both approaches reveals the Monetary…

  • Market Set‐up in Advance of Federal Reserve Policy Rate Decisions

    Open AccessDick Van Dijk, Robin L Lumsdaine et al.ARTICLEThe Economic Journal2016Referências: 39

    This article considers the extent to which the federal (fed) funds futures market prepares for Federal Open Market Committee (FOMC) announcements. We demonstrate that there is often less variation in fed funds futures prices during the period immediately preceding an FOMC announcement than in earlier periods, despite greater trading activity, as the market has already incorporated anticipated signals. We find that macro announcements and central …

  • Retirement Timing of Women and the Role of Care Responsibilities for Grandchildren

    Open AccessRobin L Lumsdaine, Stephanie J C Vermeer et al.ARTICLEDemography2015Citada por: 16Referências: 22

    This article considers the potential relationship between providing care for grandchildren and retirement, among women nearing retirement age. Using 47,444 person-wave observations from the Health and Retirement Study (HRS), we find that the arrival of a new grandchild is associated with more than an 8 % increase in the retirement hazard despite little overall evidence of a care/retirement interaction. We document that although family characteris…

  • Identifying the Common Component of International Economic Fluctuations

    Open AccessRobin L Lumsdaine, Eswar S Prasad et al.ARTICLEThe Economic Journal2003Referências: 32

  • Multiple Trend Breaks and the Unit-Root Hypothesis

    Robin L Lumsdaine, David H PapellARTICLEThe Review of Economics and…1997

    Ever since Nelson and Plosser (1982) found evidence in favor of the unit-root hypothesis for 13 long-term annual macro series, observed unit - root behavior has been equated with persistence in the economy. Perron (1989) questioned this interpretation, arguing instead that the "observed" behavior may indicate failure to account for structural change. Zivot and Andrews (1992) restored confidence in the unit-root hypothesis by incorporating an endo…

  • Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models

    Robin L LumsdaineARTICLEJournal of Business and Economic…1995

    This article compares GARCH(1,1) and IGARCH(1,1) models via a Monte Carlo study of the finite-sample properties of the maximum likelihood estimator and related test statistics. Although the asymptotic distribution is well approximated by the estimated t statistics, other commonly used statistics do not behave as well. In addition, the estimators themselves are skewed in small samples. For the null hypothesis of IGARCH(1,1), Wald tests typically h…

  • Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses

    Anindya Banerjee, Robin L Lumsdaine et al.ARTICLEJournal of Business and Economic…1992

    This article investigates the possibility, raised by Perron and by Rappoport and Reichlin, that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike those authors, we treat the break date as unknown a priori. Asymptotic distributions are developed for recursive, rolling, and sequential tests for unit roots and/or changing coefficients in time series regressions. The recursive and rolling tests …