Structural Changes and their Econometric Modeling
by Vladik Kreinovich (Editor), Songsak Sriboonchitta (Editor)

About this book
This book focuses on structural changes and economic modeling. It presents papers describing how to model structural changes, as well as those introducing improvements to the existing before-structural-changes models, making it easier to later on combine these models with techniques describing structural changes. The book also includes related theoretical developments and practical applications of the resulting techniques to economic problems.
Most traditional mathematical models of economic processes describe how the corresponding quantities change with time. However, in addition to such relatively smooth numerical changes, economical phenomena often undergo more drastic structural change. Describing such structural changes is not easy, but it is vital if we want to have a more adequate description of economic phenomena – and thus, more accurate and more reliable predictions and a better understanding on how best to influence the economic situation.

Brief contents
General Theory

• The Replacement for Hypothesis Testing 3
• On Quantum Probability Calculus for Modeling Economic Decisions 18
• My Ban on Null Hypothesis Significance Testing and Confidence Intervals 35
• Kalman Filter and Structural Change Revisited: An Application to Foreign Trade-Economic Growth Nexus 49
• Statisticians Should Not Tell Scientists What to Think 63
• Bayesian Modelling Structural Changes on Housing Price Dynamics 83
• Cumulative Residual Entropy-Based Goodness of Fit Test for Location-Scale Time Series Model  105
• The Quantum Formalism in Social Science: A Brief Excursion 116
• How Annualized Wavelet Trading “Beats” the Market 124
• Flexible Constructions for Bivariate Copulas Emphasizing Local Dependence 138
• Desired Sample Size for Estimating the Skewness Under Skew Normal Settings 152
• Why the Best Predictive Models Are Often Different from the Best Explanatory Models: A Theoretical Explanation 163
• Algorithmic Need for Subcopulas 172
• How to Take Expert Uncertainty into Account: Economic Approach Illustrated by Pavement Engineering Applications 182
• Quantum Approach Explains the Need for Expert Knowledge: On the Example of Econometrics 191
  

Applications

• Monetary Policy Shocks and Macroeconomic Variables: Evidence from Thailand  203
• Thailand’s Household Income Inequality Revisited: Evidence from Decomposition Approaches 220
• Simultaneous Confidence Intervals for All Differences of Variances of Log-Normal Distributions  235
• Confidence Intervals for the Inverse Mean and Difference of Inverse Means of Normal Distributions with Unknown Coefficients of Variation 245
• Confidence Intervals for the Mean of Delta-Lognormal Distribution  264
• The Interaction Between Fiscal Policy, Macroprudential Policy and Financial Stability in Vietnam-An Application of Structural Equation Modeling 275
• Using Confirmation Factor Analysis to Construct a Financial Stability Index for Vietnam 289
• Mercury Retrograde and Stock Market Returns in Vietnam  303
• Modeling Persistent and Periodic Weekly Rainfall in an Environment of an Emerging Sri Lankan Economy  314
• Value at Risk of SET Returns Based on Bayesian Markov-Switching GARCH Approach329
• Benfordness of Chains of Truncated Beta Distributions via a Piecewise Constant Approximation 342
• Confidence Intervals for Coefficient of Variation of Three Parameters Delta-Lognormal Distribution 352
• Confidence Intervals for Difference Between Means and Ratio of Means of Weibull Distribution 364
• Trading Signal Analysis with Pairs Trading Strategy in the Stock Exchange of Thailand  378
• Technical Efficiency Analysis of Tourism and Logistics in ASEAN: Comparing Bootstrapping DEA and Stochastic Frontier Analysis Based Decision on Copula Approach  389
• Estimating the Difference in the Percentiles of Two Delta-Lognormal Independent Populations 402
• Impacts of Global Market Volatility and US Dollar on Agricultural Commodity Futures Prices: A Panel Cointegration Approach  412
• An Analysis of the Impact of the Digital Economy on Change in Thailand’s Economic Trends Using Dynamic Stochastic General Equilibrium (DSGE)  423
• A Regime Switching Skew-Distribution Model of Contagion  439
• Structural Breaks Dependence Analysis of Oil, Natural Gas, and Heating Oil: A Vine-Copula Approach 451
• Markov Switching Constant Conditional Correlation GARCH Models for Hedging on Gold and Crude Oil  463
• Portfolio Optimization of Stock, Oil and Gold Returns: A Mixed Copula-Based Approach 474
• Markov Switching Quantile Model Unknown tau Energy Stocks Price Index Thailand  488
• Modeling the Dependence Dynamics and Risk Spillovers for G7 Stock Markets  497
• A Regime Switching Vector Error Correction Model of Analysis of Cointegration in Oil, Gold, Stock Markets  514
• A Regime Switching Time-Varying Copula Approach to Oil and Stock Markets Dependence: The Case of G7 Economies 525
• Forecasting Exchange Rate with Linear and Non-linear Vector Autoregressive  541
• The Impacts of Macroeconomic Variables on Economic Growth: Evidence from China, Japan, and South Korea 552
• Determinants of Foreign Direct Investment Inflow in ASEAN Countries: Panel Threshold Approach and Panel Smooth Transition Regression Approach  563
• Predictive Recursion Maximum Likelihood for Kink Regression Model 572
• Bayesian Extreme Value Optimization Algorithm: Application to Forecast the Rubber Futures in Futures Exchange Markets 582
• Measuring U.S. Business Cycle Using Markov-Switching Model: A Comparison Between Empirical Likelihood Estimation and Parametric Estimations 596
• Analysis of Small and Medium-Sized Enterprises’ Insolvency Probability by Financial Statements Using Probit Kink Model: Manufacture Sector in Songkhla Province, Thailand  607
• Frequency Domain Causality Analysis of Stock Market and Economic Activites in Vietnam 620
• Investigating Structural Dependence in Natural Rubber Supplys Based on Entropy Analyses and Copulas 639
• The Dependence Between International Crude Oil Price and Vietnam Stock Market: Nonlinear Cointegration Test Approach 648
• Stability of Vietnam Money Demand Function: An Empirical Application of Multiple Testing with a Structural Break 670
• Analytic on Long-Run Equilibrium Between Thailand’s Economy and Business Tourism (MICE) Industry Using Bayesian Inference 684
• Technical Efficiency Analysis of Top Agriculture Producing Countries in Asia: Zero Inefficiency Meta-Frontier Approach 702
• Technical Efficiency Analysis of Agricultural Production of BRIC Countries and the United States of America: A Copula-Based Meta-Frontier Approach 724
• Comparisons of Confidence Interval for a Ratio of Non-normal Variances Using a Kurtosis Estimator  745
• An Analysis of Stock Market Cycle with Markov Switching and Kink Model 756
• Author Index775
  

Series: Studies in Computational Intelligence (Book 808)
Pages: 776 pages
Publisher: Springer; 1st ed. 2019 edition (November 24, 2018)
Language: English
ISBN-10: 3030042626
ISBN-13: 978-3030042622