Kreinovich V., Sriboonchitta S., Huynh V.-N. (eds.) Robustness in Econometrics

New York: Springer, 2017. — 693 p.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.Robust Estimation of Heckman ModelSequential 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 Estimation Method 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 ModelPredictive Recursion Maximum Likelihood of Threshold Autoregressive Model
A Multivariate Generalized FGM Copulas and Its Application to Multiple RegressionKey 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
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 RiskEstimating 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