Robustness in Econometrics

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