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A Copula-Based Markov Switching Seemingly Unrelated Regression Approach for Analysis the Demand and Supply on Sugar Market

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Integrated Uncertainty in Knowledge Modelling and Decision Making (IUKM 2016)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 9978))

Abstract

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.

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Notes

  1. 1.

    Marketing year refers to the 12-month period, generally from the beginning of a new harvest, over which a crop is marketed (Report for Congress: Agriculture: A Glossary of Terms, Programs, and Laws, 2005 Edition).

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Acknowledgement

The authors are grateful to Puay Ungphakorn Centre of Excellence in Econometrics, Faculty of Economics. Chiang Mai University for the financial support.

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Authors and Affiliations

  1. Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

    Pathairat Pastpipatkul, Nisit Panthamit, Woraphon Yamaka & Songsak Sriboochitta

Authors
  1. Pathairat Pastpipatkul
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  2. Nisit Panthamit
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  3. Woraphon Yamaka
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  4. Songsak Sriboochitta
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Corresponding author

Correspondence to Pathairat Pastpipatkul .

Editor information

Editors and Affiliations

  1. Japan Advanced Institute of Science and Technology, Nomi, Ishikawa, Japan

    Van-Nam Huynh

  2. Graduate School of Engineering Science, Osaka University, Toyonaka, Osaka, Japan

    Masahiro Inuiguchi

  3. University of Science, Ho Chi Minh City, Vietnam

    Bac Le

  4. Duy Tan University, Da Nang, Vietnam

    Bao Nguyen Le

  5. Université de Technologie de Compiègne , Compiègne, France

    Thierry Denoeux

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Pastpipatkul, P., Panthamit, N., Yamaka, W., Sriboochitta, S. (2016). A Copula-Based Markov Switching Seemingly Unrelated Regression Approach for Analysis the Demand and Supply on Sugar Market. In: Huynh, VN., Inuiguchi, M., Le, B., Le, B., Denoeux, T. (eds) Integrated Uncertainty in Knowledge Modelling and Decision Making. IUKM 2016. Lecture Notes in Computer Science(), vol 9978. Springer, Cham. https://doi.org/10.1007/978-3-319-49046-5_41

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  • DOI: https://doi.org/10.1007/978-3-319-49046-5_41

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-49045-8

  • Online ISBN: 978-3-319-49046-5

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