Robustness in Econometrics (eBook, PDF)

Redaktion: Kreinovich, Vladik; Huynh, Van-Nam; Sriboonchitta, Songsak

• Format: PDF

Produktbeschreibung

This book presents recent research on robustness in econometrics. Robust data processing techniques - i.e., techniques that yield results minimally affected by outliers - and their applications to real-life economic and financial situations are the main focus of this book. The book also discusses applications of more traditional statistical techniques to econometric problems.

Econometrics is a branch of economics that uses mathematical (especially statistical) methods to analyze economic systems, to forecast economic and financial dynamics, and to develop strategies for achieving desirable economic performance. In day-by-day data, we often encounter outliers that do not reflect the long-term economic trends, e.g., unexpected and abrupt fluctuations. As such, it is important to develop robust data processing techniques that can accommodate these fluctuations.

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Produktdetails

• Verlag: Springer International Publishing
• Seitenzahl: 705
• Erscheinungstermin: 11. Februar 2017
• Englisch
• ISBN-13: 9783319507422
• Artikelnr.: 53031984

Inhaltsangabe

Part I Keynote Addresses: Robust Estimation of Heckman Model.- Part II Fundamental Theory: Sequential Monte Carlo Sampling for State Space Models.- Robustness as a Criterion for Selecting a Probability Distribution Under Uncertainty.- Why Cannot We Have a Strongly Consistent Family of Skew Normal (and Higher Order) Distributions.- Econometric Models of Probabilistic Choice: Beyond McFadden's Formulas.- How to Explain Ubiquity of Constant Elasticity of Substitution (CES) Production and Utility Functions Without Explicitly Postulating CES.- How to Make Plausibility-Based Forecasting More Accurate.- Structural Breaks of CAPM-type Market Model with Heteroskedasticity and Quantile Regression.- Weighted Least Squares and Adaptive Least Squares: Further Empirical Evidence.- Prior-free probabilistic inference for econometricians.- Robustness in Forecasting Future Liabilities in Insurance.- On Conditioning in Multidimensional Probabilistic Models.- New EstimationMethod for Mixture of Normal Distributions.- EM Estimation for Multivariate Skew Slash Distribution.- Constructions of multivariate copulas.- Plausibility regions on the skewness parameter of skew normal distributions based on inferential models.- International Yield Curve Prediction with Common Functional Principal Component Analysis.- An alternative to p-values in hypothesis testing with applications in model selection of stock price data.- Confidence Intervals for the Common Mean of Several Normal Populations.- A generalized information theoretical approach to Non-linear time series model.- Predictive recursion maximum likelihood of Threshold Autoregressive model.- A multivariate generalized FGM copulas and its application to multiple regression.- Part III Applications: Key Economic Sectors and Their Transitions: Analysis of World Input-Output Network.- Natural Resources, Financial Development and Sectoral Value Added in a Resource Based Economy.- Can bagging improve the forecasting performance of tourism demand models?.- The Role of Asian Credit Default Swap Index in Portfolio Risk Management.- Chinese outbound tourism demand to Singapore, Malaysia and Thailand destinations: A study of political events and holiday impacts.- Forecasting Asian Credit Default Swap spreads: A comparison of multi-regime models.- Forecasting Asian Credit Default Swap spreads: A comparison of multi-regime models.- Effect of Helmet Use on Severity of Head Injuries Using Doubly Robust Estimators.- Forecasting cash holding with cash deposit using time series approaches.- Forecasting GDP Growth in Thailand with Different Leading Indicators using MIDAS regression models.- Testing the Validity of Economic Growth Theories Using Copula-based Seemingly Unrelated Quantile Kink Regression.- Analysis of Global Competitiveness Using Copula-based Stochastic Frontier Kink Model.- Gravity model of trade with Linear Quantile Mixed Models approach.- Stochastic Frontier Model in Financial Econometrics:A Copula-based Approach.- Quantile Forecasting of PM10 Data in Korea based on Time Series Models.- Do We Have Robust GARCH Models under Different Mean Equations: Evidence from Exchange Rates of Thailand?.- Joint Determinants of Foreign Direct Investment (FDI) Inflow in Cambodia: A Panel Co-integration Approach.- The Visitors' Attitudes and Perceived Value toward Rural Regeneration Community Development of Taiwan.- Analyzing the contribution of ASEAN stock markets to systemic risk.- Estimating Efficiency of Stock Return with Interval Data.- The impact of extreme events on portfolio in financial risk management.- Foreign Direct Investment, Exports and Economic Growth in ASEAN Region: Empirical Analysis from Panel Data.- Author Index