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Finite-sample properties of the maximum lilelihood estimator in GARCH (1,1) and IGARCH (1,1) models : a Monte Carlo investigation
Lumsdaine, Robin L. - In: Journal of business & economic statistics : JBES ; a … 13 (1995) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10001177133
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Comment on "Statistical adequacy and the testing of trend versus difference stationarity" by Andreou and Spanos (Number 2)
Lumsdaine, Robin L. - In: Econometric reviews 22 (2003) 3, pp. 247-252
Persistent link: https://www.econbiz.de/10001786919
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Testing for ARCH in the presence of a possibly misspecified conditional mean
Lumsdaine, Robin L.; Ng, Serena - In: Journal of econometrics 93 (1999) 2, pp. 257-279
Persistent link: https://www.econbiz.de/10001406657
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Efficient windows and labor market reduction
Lumsdaine, Robin L.; Stock, James H.; Wise, David A. - 1990
Persistent link: https://www.econbiz.de/10000792022
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Recursive and sequential tests of the unit root and trend break hypotheses : theory and international evidence
Banerjee, Anindya; Lumsdaine, Robin L.; Stock, James H. - 1990
Persistent link: https://www.econbiz.de/10000803376
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Dating the integration of world equity markets
Bekaert, Geert; Harvey, Campbell R.; Lumsdaine, Robin L. - 1998
Persistent link: https://www.econbiz.de/10000675607
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Retirement incentives : the interaction between employer-provided pensions, social security, and retiree health benefits
Lumsdaine, Robin L. - In: The economic effects of aging in the United States and Japan, (pp. 261-293). 1997
Persistent link: https://www.econbiz.de/10001298919
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Testing for and dating common breaks in multivariate time series
Bai, Jushan - In: The review of economic studies 65 (1998) 3, pp. 395-432
Persistent link: https://www.econbiz.de/10001244375
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Recursive and sequential tests of the unit-root and trend-break hypotheses : theory and international evidence
Banerjee, Anindya - In: Journal of business & economic statistics : JBES ; a … 10 (1992) 3, pp. 271-287
Persistent link: https://www.econbiz.de/10001126538
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Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH (1,1) and covariance stationary GARCH (1,1) models
Lumsdaine, Robin L. - In: Econometrica : journal of the Econometric Society, an … 64 (1996) 3, pp. 575-596
Persistent link: https://www.econbiz.de/10001199896