Robustness in Econometrics
Springer International Publishing (Verlag)
978-3-319-84480-0 (ISBN)
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.
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
| Erscheinungsdatum | 05.03.2022 |
|---|---|
| Reihe/Serie | Studies in Computational Intelligence |
| Zusatzinfo | X, 705 p. 129 illus., 120 illus. in color. |
| Verlagsort | Cham |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Gewicht | 1080 g |
| Themenwelt | Informatik ► Theorie / Studium ► Künstliche Intelligenz / Robotik |
| Technik | |
| Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie | |
| Schlagworte | Computational Intelligence • Econometrics • Models of Economic Phenomena • Robustness • Robustness in Econometrics |
| ISBN-10 | 3-319-84480-6 / 3319844806 |
| ISBN-13 | 978-3-319-84480-0 / 9783319844800 |
| Zustand | Neuware |
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