Structural Changes and their Econometric Modeling

Front Matter ....Pages i-x
Front Matter ....Pages 1-1
 The Replacement for Hypothesis Testing  (William M. Briggs, Hung T. Nguyen, David Trafimow)....Pages 3-17
 On Quantum Probability Calculus for Modeling Economic Decisions  (Hung T. Nguyen, Songsak Sriboonchitta, Nguyen Ngoc Thach)....Pages 18-34
 My Ban on Null Hypothesis Significance Testing and Confidence Intervals  (David Trafimow)....Pages 35-48
 Kalman Filter and Structural Change Revisited: An Application to Foreign Trade-Economic Growth Nexus  (Omorogbe Joseph Asemota)....Pages 49-62
 Statisticians Should Not Tell Scientists What to Think  (Donald Bamber)....Pages 63-82
 Bayesian Modelling Structural Changes on Housing Price Dynamics  (Hong Than-Thi, Manh Cuong Dong, Cathy W. S. Chen)....Pages 83-104
 Cumulative Residual Entropy-Based Goodness of Fit Test for Location-Scale Time Series Model  (Sangyeol Lee)....Pages 105-115
 The Quantum Formalism in Social Science: A Brief Excursion  (Emmanuel Haven)....Pages 116-123
 How Annualized Wavelet Trading “Beats” the Market  (Lanh Tran)....Pages 124-137
 Flexible Constructions for Bivariate Copulas Emphasizing Local Dependence  (Xiaonan Zhu, Qingsong Shan, Suttisak Wisadwongsa, Tonghui Wang)....Pages 138-151
 Desired Sample Size for Estimating the Skewness Under Skew Normal Settings  (Cong Wang, Tonghui Wang, David Trafimow, Hunter A. Myüz)....Pages 152-162
 Why the Best Predictive Models Are Often Different from the Best Explanatory Models: A Theoretical Explanation  (Songsak Sriboonchitta, Luc Longpré, Vladik Kreinovich, Thongchai Dumrongpokaphan)....Pages 163-171
 Algorithmic Need for Subcopulas  (Thach Ngoc Nguyen, Olga Kosheleva, Vladik Kreinovich, Hoang Phuong Nguyen)....Pages 172-181
 How to Take Expert Uncertainty into Account: Economic Approach Illustrated by Pavement Engineering Applications  (Edgar Daniel Rodriguez Velasquez, Carlos M. Chang Albitres, Thach Ngoc Nguyen, Olga Kosheleva, Vladik Kreinovich)....Pages 182-190
 Quantum Approach Explains the Need for Expert Knowledge: On the Example of Econometrics  (Songsak Sriboonchitta, Hung T. Nguyen, Olga Kosheleva, Vladik Kreinovich, Thach Ngoc Nguyen)....Pages 191-199
Front Matter ....Pages 201-201
 Monetary Policy Shocks and Macroeconomic Variables: Evidence from Thailand  (Popkarn Arwatchanakarn)....Pages 203-219
 Thailand’s Household Income Inequality Revisited: Evidence from Decomposition Approaches  (Natthaphat Kingnetr, Supanika Leurcharusmee, Songsak Sriboonchitta)....Pages 220-234
 Simultaneous Confidence Intervals for All Differences of Variances of Log-Normal Distributions  (Warisa Thangjai, Suparat Niwitpong)....Pages 235-244
 Confidence Intervals for the Inverse Mean and Difference of Inverse Means of Normal Distributions with Unknown Coefficients of Variation  (Warisa Thangjai, Sa-Aat Niwitpong, Suparat Niwitpong)....Pages 245-263
 Confidence Intervals for the Mean of Delta-Lognormal Distribution  (Patcharee Maneerat, Sa-Aat Niwitpong, Suparat Niwitpong)....Pages 264-274
 The Interaction Between Fiscal Policy, Macroprudential Policy and Financial Stability in Vietnam-An Application of Structural Equation Modeling  (Nguyen Ngoc Thach, Tran Thi Kim Oanh, Huynh Ngoc Chuong)....Pages 275-288
 Using Confirmation Factor Analysis to Construct a Financial Stability Index for Vietnam  (Nguyen Ngoc Thach, Tran Thi Kim Oanh, Huynh Ngoc Chuong)....Pages 289-302
 Mercury Retrograde and Stock Market Returns in Vietnam  (Nguyen Ngoc Thach, Nguyen Van Diep)....Pages 303-313
 Modeling Persistent and Periodic Weekly Rainfall in an Environment of an Emerging Sri Lankan Economy  (H. P. T. N. Silva, G. S. Dissanayake, T. S. G. Peiris)....Pages 314-328
 Value at Risk of SET Returns Based on Bayesian Markov-Switching GARCH Approach  (Petchaluck Boonyakunakorn, Pathairat Pastpipatkul, Songsak Sriboonchitta)....Pages 329-341
 Benfordness of Chains of Truncated Beta Distributions via a Piecewise Constant Approximation  (Tippawan Santiwipanont, Songkiat Sumetkijakan, Teerapot Wiriyakraikul)....Pages 342-351
 Confidence Intervals for Coefficient of Variation of Three Parameters Delta-Lognormal Distribution  (Noppadon Yosboonruang, Suparat Niwitpong, Sa-Aat Niwitpong)....Pages 352-363
 Confidence Intervals for Difference Between Means and Ratio of Means of Weibull Distribution  (Manussaya La-ongkaew, Sa-Aat Niwitpong, Suparat Niwitpong)....Pages 364-377
 Trading Signal Analysis with Pairs Trading Strategy in the Stock Exchange of Thailand  (Natnarong Namwong, Woraphon Yamaka, Roengchai Tansuchat)....Pages 378-388
 Technical Efficiency Analysis of Tourism and Logistics in ASEAN: Comparing Bootstrapping DEA and Stochastic Frontier Analysis Based Decision on Copula Approach  (Chanamart Intapan, Songsak Sriboonchitta, Chukiat Chaiboonsri, Pairach Piboonrungroj)....Pages 389-401
 Estimating the Difference in the Percentiles of Two Delta-Lognormal Independent Populations  (Maneerat Jaithun, Sa-Aat Niwitpong, Suparat Niwitpong)....Pages 402-411
 Impacts of Global Market Volatility and US Dollar on Agricultural Commodity Futures Prices: A Panel Cointegration Approach  (Khunanont Lerkeitthamrong, Chatchai Khiewngamdee, Rossarin Osathanunkul)....Pages 412-422
 An Analysis of the Impact of the Digital Economy on Change in Thailand’s Economic Trends Using Dynamic Stochastic General Equilibrium (DSGE)  (Chaiwat Klinlampu, Chukiat Chaiboonsri, Anuphak Saosaovaphak, Jirakom Sirisrisakulchai)....Pages 423-438
 A Regime Switching Skew-Distribution Model of Contagion  (Woraphon Yamaka, Payap Tarkhamtham, Paravee Maneejuk, Songsak Sriboonchitta)....Pages 439-450
 Structural Breaks Dependence Analysis of Oil, Natural Gas, and Heating Oil: A Vine-Copula Approach  (Nopasit Chakpitak, Payap Tarkhamtham, Woraphon Yamaka, Songsak Sriboonchitta)....Pages 451-462
 Markov Switching Constant Conditional Correlation GARCH Models for Hedging on Gold and Crude Oil  (Noppasit Chakpitak, Pichayakone Rakpho, Woraphon Yamaka)....Pages 463-473
 Portfolio Optimization of Stock, Oil and Gold Returns: A Mixed Copula-Based Approach  (Sukrit Thongkairat, Woraphon Yamaka, Nopasit Chakpitak)....Pages 474-487
 Markov Switching Quantile Model Unknown tau Energy Stocks Price Index Thailand  (Pichayakone Rakpho, Woraphon Yamaka, Songsak Sriboonchitta)....Pages 488-496
 Modeling the Dependence Dynamics and Risk Spillovers for G7 Stock Markets  (Noppasit Chakpitak, Rungrapee Phadkantha, Woraphon Yamaka)....Pages 497-513
 A Regime Switching Vector Error Correction Model of Analysis of Cointegration in Oil, Gold, Stock Markets  (Sukrit Thongkairat, Woraphon Yamaka, Songsak Sriboonchitta)....Pages 514-524
 A Regime Switching Time-Varying Copula Approach to Oil and Stock Markets Dependence: The Case of G7 Economies  (Rungrapee Phadkantha, Woraphon Yamaka, Songsak Sriboonchitta)....Pages 525-540
 Forecasting Exchange Rate with Linear and Non-linear Vector Autoregressive  (Rungrapee Phadkantha, Woraphon Yamaka, Songsak Sriboonchitta)....Pages 541-551
 The Impacts of Macroeconomic Variables on Economic Growth: Evidence from China, Japan, and South Korea  (Wilawan Srichaikul, Woraphon Yamaka, Songsak Sriboonchitta)....Pages 552-562
 Determinants of Foreign Direct Investment Inflow in ASEAN Countries: Panel Threshold Approach and Panel Smooth Transition Regression Approach  (Noppasit Chakpitak, Wilawan Srichaikul, Woraphon Yamaka, Songsak Sriboonchitta)....Pages 563-571
 Predictive Recursion Maximum Likelihood for Kink Regression Model  (Noppasit Chakpitak, Woraphon Yamaka, Paravee Maneejuk)....Pages 572-581
 Bayesian Extreme Value Optimization Algorithm: Application to Forecast the Rubber Futures in Futures Exchange Markets  (Arisara Romyen, Satawat Wannapan, Chukiat Chaiboonsri)....Pages 582-595
 Measuring U.S. Business Cycle Using Markov-Switching Model: A Comparison Between Empirical Likelihood Estimation and Parametric Estimations  (Paravee Maneejuk, Woraphon Yamaka, Songsak Sriboonchitta)....Pages 596-606
 Analysis of Small and Medium-Sized Enterprises’ Insolvency Probability by Financial Statements Using Probit Kink Model: Manufacture Sector in Songkhla Province, Thailand  (Chalerm Jaitang, Paravee Maneejuk, Aree Wiboonpongse, Songsak Sriboonchitta)....Pages 607-619
 Frequency Domain Causality Analysis of Stock Market and Economic Activites in Vietnam  (Nguyen Ngoc Thach, Le Hoang Anh, Ha Thi Nhu Phuong)....Pages 620-638
 Investigating Structural Dependence in Natural Rubber Supplys Based on Entropy Analyses and Copulas  (Kewalin Somboon, Chukiat Chaiboonsri, Satawat Wannapan, Songsak Sriboonchitta)....Pages 639-647
 The Dependence Between International Crude Oil Price and Vietnam Stock Market: Nonlinear Cointegration Test Approach  (Le Hoang Anh, Tran Phuoc, Ha Thi Nhu Phuong)....Pages 648-669
 Stability of Vietnam Money Demand Function: An Empirical Application of Multiple Testing with a Structural Break  (Bui Quang Hien, Pham Dinh Long)....Pages 670-683
 Analytic on Long-Run Equilibrium Between Thailand’s Economy and Business Tourism (MICE) Industry Using Bayesian Inference  (Chanamart Intapan, Songsak Sriboonchitta, Chukiat Chaiboonsri, Pairach Piboonrungroj)....Pages 684-701
 Technical Efficiency Analysis of Top Agriculture Producing Countries in Asia: Zero Inefficiency Meta-Frontier Approach  (Jianxu Liu, Hui Li, Songsak Sriboonchitta, Sanzidur Rahman)....Pages 702-723
 Technical Efficiency Analysis of Agricultural Production of BRIC Countries and the United States of America: A Copula-Based Meta-Frontier Approach  (Jianxu Liu, Yangnan Cheng, Sanzidur Rahman, Songsak Sriboonchitta)....Pages 724-744
 Comparisons of Confidence Interval for a Ratio of Non-normal Variances Using a Kurtosis Estimator  (Channarong Wongyai, Sirima Suwan)....Pages 745-755
 An Analysis of Stock Market Cycle with Markov Switching and Kink Model  (Konnika Palason, Roengchai Tansuchat)....Pages 756-774
Back Matter ....Pages 775-776