Markov-Switching ARDL Modeling of Parboiled Rice Import Demand from Thailand

Markov-Switching ARDL Modeling of Parboiled Rice Import Demand from Thailand

© 2018, Springer International Publishing AG, part of Springer Nature. In this paper, we develop a Markov Switching autoregressive distributed lag (MS-ARDL) model in which short- and long-run nonlinearities are introduced. The model is used to investigate the import demand of Nigeria for parboiled r...

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Main Authors: Roengchai Tansuchat, Woraphon Yamaka
Format: Book Series
Published: 2018
Subjects:
Computer Science
Mathematics
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85043991914&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/58549
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-585492018-09-05T04:33:16Z Markov-Switching ARDL Modeling of Parboiled Rice Import Demand from Thailand Roengchai Tansuchat Woraphon Yamaka Computer Science Mathematics © 2018, Springer International Publishing AG, part of Springer Nature. In this paper, we develop a Markov Switching autoregressive distributed lag (MS-ARDL) model in which short- and long-run nonlinearities are introduced. The model is used to investigate the import demand of Nigeria for parboiled rice from Thailand. We demonstrate that the model is estimable by Maximum likelihood estimator and then a reliable long-run inference can be achieved by bound testing regardless of the integration orders of the variables. Furthermore, we first examine the accuracy of the model using a simulation study, and then the salient features of the model are employed to investigate the Thai parboiled rice demand from Nigeria. 2018-09-05T04:26:10Z 2018-09-05T04:26:10Z 2018-01-01 Book Series 16113349 03029743 2-s2.0-85043991914 10.1007/978-3-319-75429-1_31 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85043991914&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/58549
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Computer Science
Mathematics
spellingShingle Computer Science
Mathematics
Roengchai Tansuchat
Woraphon Yamaka
Markov-Switching ARDL Modeling of Parboiled Rice Import Demand from Thailand
description © 2018, Springer International Publishing AG, part of Springer Nature. In this paper, we develop a Markov Switching autoregressive distributed lag (MS-ARDL) model in which short- and long-run nonlinearities are introduced. The model is used to investigate the import demand of Nigeria for parboiled rice from Thailand. We demonstrate that the model is estimable by Maximum likelihood estimator and then a reliable long-run inference can be achieved by bound testing regardless of the integration orders of the variables. Furthermore, we first examine the accuracy of the model using a simulation study, and then the salient features of the model are employed to investigate the Thai parboiled rice demand from Nigeria.
format Book Series
author Roengchai Tansuchat
Woraphon Yamaka
author_facet Roengchai Tansuchat
Woraphon Yamaka
author_sort Roengchai Tansuchat
title Markov-Switching ARDL Modeling of Parboiled Rice Import Demand from Thailand
title_short Markov-Switching ARDL Modeling of Parboiled Rice Import Demand from Thailand
title_full Markov-Switching ARDL Modeling of Parboiled Rice Import Demand from Thailand
title_fullStr Markov-Switching ARDL Modeling of Parboiled Rice Import Demand from Thailand
title_full_unstemmed Markov-Switching ARDL Modeling of Parboiled Rice Import Demand from Thailand
title_sort markov-switching ardl modeling of parboiled rice import demand from thailand
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85043991914&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/58549
_version_ 1681425086133829632

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