A copula-based markov switching seemingly unrelated regression approach for analysis the demand and supply on sugar market

A copula-based markov switching seemingly unrelated regression approach for analysis the demand and supply on sugar market

© Springer International Publishing AG 2016. This paper conducted a Markov switching seemingly unrelated regression without assuming a normal distribution of the error term. We proposed the use of both Archimedean and Elliptical copula classes to join the different marginal of the system equations....

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Main Authors: Pastpipatkul P., Panthamit N., Yamaka W., Sriboochitta S.
Format: Book Series
Published: 2017
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85005990012&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/42221
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-422212017-09-28T04:25:51Z A copula-based markov switching seemingly unrelated regression approach for analysis the demand and supply on sugar market Pastpipatkul P. Panthamit N. Yamaka W. Sriboochitta S. © Springer International Publishing AG 2016. This paper conducted a Markov switching seemingly unrelated regression without assuming a normal distribution of the error term. We proposed the use of both Archimedean and Elliptical copula classes to join the different marginal of the system equations. The results show that normal distribution for both demand and supply equations and joint distribution by Frank copulas present the lowest AIC and BIC. Moreover, the model is, then, applied for estimating the demand and supply in Thai sugar market. Thai export price and Brazil’s export price were found to be the factors affecting the demand and supply of the Thai sugar market. Finally, the results on smoothed probabilities indicate the oversupply condition in Thai sugar market along our sample period. 2017-09-28T04:25:51Z 2017-09-28T04:25:51Z 2016-01-01 Book Series 03029743 2-s2.0-85005990012 10.1007/978-3-319-49046-5_41 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85005990012&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42221
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
description © Springer International Publishing AG 2016. This paper conducted a Markov switching seemingly unrelated regression without assuming a normal distribution of the error term. We proposed the use of both Archimedean and Elliptical copula classes to join the different marginal of the system equations. The results show that normal distribution for both demand and supply equations and joint distribution by Frank copulas present the lowest AIC and BIC. Moreover, the model is, then, applied for estimating the demand and supply in Thai sugar market. Thai export price and Brazil’s export price were found to be the factors affecting the demand and supply of the Thai sugar market. Finally, the results on smoothed probabilities indicate the oversupply condition in Thai sugar market along our sample period.
format Book Series
author Pastpipatkul P.
Panthamit N.
Yamaka W.
Sriboochitta S.
spellingShingle Pastpipatkul P.
Panthamit N.
Yamaka W.
Sriboochitta S.
A copula-based markov switching seemingly unrelated regression approach for analysis the demand and supply on sugar market
author_facet Pastpipatkul P.
Panthamit N.
Yamaka W.
Sriboochitta S.
author_sort Pastpipatkul P.
title A copula-based markov switching seemingly unrelated regression approach for analysis the demand and supply on sugar market
title_short A copula-based markov switching seemingly unrelated regression approach for analysis the demand and supply on sugar market
title_full A copula-based markov switching seemingly unrelated regression approach for analysis the demand and supply on sugar market
title_fullStr A copula-based markov switching seemingly unrelated regression approach for analysis the demand and supply on sugar market
title_full_unstemmed A copula-based markov switching seemingly unrelated regression approach for analysis the demand and supply on sugar market
title_sort copula-based markov switching seemingly unrelated regression approach for analysis the demand and supply on sugar market
publishDate 2017
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85005990012&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/42221
_version_ 1681422148097277952

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