TES2019
"Structural changes and their econometric modeling"
The 12th International Conference of the Thailand Econometric Society (TES2019) Chiang Mai, Thailand, January 9-11, 2019.
This conference aims at bringing together researchers in econometrics and quantitative analysis in economics for an opportunity to present and discuss theoretical and applied research problems as well as to foster research collaborations.
The theme of the TES2019 is “Structural changes and their econometric modeling”. However, the conference also welcomes any topics in econometrics and quantitative methods with applications in economics.
Invited Speakers (Tentative) :
1. Omorogbe Joseph Asemota
Japan, Kalman Filter and Structural Changes
2. Vladik Kreinovich
USA., TBA
3. William M. Briggs
USA., Alternatives to P-Values
4. Tonghui Wang
USA, TBA
5. Galit Shmueli
Taiwan, TBA
6. Lanh T. Tran
Can we beat the market?
7. David Trafimow
Why I banned P-values?
8. Emmanuel Haven
Canada, Quantum Social Sciences
9. Donald Bamber
What is probability in Econometrics?
10. Cathy Chen
Taiwan, TBA
11. Sang-Yeol Lee
Korea, TBA
Venue:
Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand.
Website:
http://cmse-conference.econ.cmu.ac.th
Contact email for all information and submissions :
thailand.econometric.society@gmail.com
Publications:
Accepted papers for presentation at TES2019 will be published in the Springer-Verlag book series "Advance on Intelligent Systems and Computing" (available for distribution at the Conference) indexed in Scopus.
Also, selected and extended papers will be considered (under further peer-reviewed process) for publications in Special Issues of
- International J.of Uncertainty, Fuzziness and Knowledge-Based Systems (ISI Journal),
- International J. of Approximate Reasoning
- International J. of intelligent Technology and Applied Statistics
- Thai J. of Mathematics
- Chiang Mai University J. of Social Sciences and Humanities
- The Empirical Econometrics and Quantitative economics Letters (EEQEL)
Registration Fee:
1. Presenters
• Presenter + one accompanying person
USD 200/THB 7,500
• Student + one accompanying person
USD 100/THB 3,800
• CMU staff + one accompanying student
USD 100/THB 3,800
• CMU student
USD 30/THB1,200
2. Participants
• General
USD 80/THB 3,000
• Student
USD 30/THB 1,200
Important dates for paper submissions
Submit electronically (in TEX and PDF formats) to
https://easychair.org/conferences/?conf=tes2019
For Invited Speakers:
August 30, 2018 (Title, Abstract abd Full paper, in TEX and PDF files)
For regular participants: Paper Submission Deadline: July 1, 2018
*Notification of acceptance: August 1, 2018 (with instructions for submitting the final manuscript and Copyright Agreement form).
*Final version submission deadline: August 15, 2018 (Submit your final manuscript and the signed Copyright Agreement form, electronically to
thailand.econometric.society@gmail.com.
General Chair:
Dean Pirut Kanjanakaroon
Administrative Committee:
Asst.Prof.Dr.Charuk Singhapreecha (Chair),
Asst.Prof.Dr.Chaiwat Nimanussornkul (Co - Chair)
Dr.Supanika Leurcharusmee (Co - Chair)
Organizing Committee :
Thawarot Thongkham (Organizer-in-chief),
Vanlaya Sutava (Secretary),
Kulcharee Kritsadathikarnkul (Assistant secretary),
Thanikool Boonsritan (Assistant secretary),
Collaborations:
Department of Economics, Faculty of Management Science, Khon Kaen University
Faculty of Economics, Prince of Songkhla University
Bank of Thailand
Scientific Committee:
Chair: Hung T.Nguyen (USA and Thailand)
Members:
Vladik Kreinovich,
Tonghui Wang,
William M. Briggs
David Trafimow
Donald Bamber
Galit Shmueli
Lanh T. Tran
Emmanuel Haven
Berlin Wu
Songsak Sriboonchitta
Aree Wiboonpongse
Hien Tran
L.V. Chon
Akira Namatame
Nam Huynh
Michael Wolf
Marc Paolella
Elvezio Ronchetti
Federico M. Bandi
Paper Submission Deadline: July 1, 2018
*Notification of acceptance: August 1, 2018 (with instructions for submitting the final manuscript and Copyright Agreement form).
*Final version submission deadline: August 15, 2018 (Submit your final manuscript and the signed Copyright Agreement form, electronically to
thailand.econometric.society@gmail.com.
General Chair:
Dean Pirut Kanjanakaroon
Administrative Committee:
Asst.Prof.Dr.Charuk Singhapreecha (Chair),
Asst.Prof.Dr.Chaiwat Nimanussornkul (Co - Chair)
Dr.Supanika Leurcharusmee (Co - Chair)
Organizing Committee :
Thawarot Thongkham (Organizer-in-chief),
Vanlaya Sutava (Secretary),
Kulcharee Kritsadathikarnkul (Assistant secretary),
Thanikool Boonsritan (Assistant secretary),
Collaborations:
Department of Economics, Faculty of Management Science, Khon Kaen University
Faculty of Economics, Prince of Songkhla University
Bank of Thailand
Scientific Committee:
Chair: Hung T.Nguyen (USA and Thailand)
Members:
Vladik Kreinovich,
Tonghui Wang,
William M. Briggs
David Trafimow
Donald Bamber
Galit Shmueli
Lanh T. Tran
Emmanuel Haven
Berlin Wu
Songsak Sriboonchitta
Aree Wiboonpongse
Hien Tran
L.V. Chon
Akira Namatame
Nam Huynh
Michael Wolf
Marc Paolella
Elvezio Ronchetti
Federico M. Bandi
TES2019 Program
Program Updated: June 1,2019.
TES2019 Abstract
January 9, 2019
| Chair: Prof. Vladik Kreinovich | |||
| Time | Room | Plenary session | |
|---|---|---|---|
| 08.00 - 09.00 | Main Hall | Registration | |
| 09.00 - 09.45 | Main Hall | Opening | |
| 09.45 - 10.30 | Main Hall | The Quantum formalism for social sciences. | E. Haven |
| 10.30 - 11.15 | Main Hall | My ban on null hypothesis testing and confidence intervals. | David Trafimow |
| 11.15 - 12.00 | Main Hall | The replacement for hypothesis testing. | William Briggs |
| Chair: Dr. Donald Bamber | |||
| Time | Room | Parallel session A1 | |
|---|---|---|---|
| 13.15 - 13.45 | Main Hall | How to Take Expert Uncertainty into Account: Economic Approach Illustrated by Pavement Engineering Applications | Edgar Daniel Rodriguez Velasquez, Carlos Chang Albitres, Thach N. Nguyen, Olga Kosheleva and Vladik Kreinovich |
| 13.45 - 14.15 | Main Hall | Quantum Approach Explains the Need for Expert Knowledge: On the Example of Econometrics. | Songsak Sriboonchitta, Hung Nguyen, Olga Kosheleva, Vladik Kreinovich and Thach N. Nguyen |
| 14.15 - 14.45 | Main Hall | Analysis of Small and Medium-sized Enterprises’ Insolvent Probability by Financial Statements using Probit Kink Model: Manufacture Sector in Songkhla Province, Thailand. | Chalerm Jaitang, Paravee Maneejuk, Aree Wiboonpongse and Songsak Sriboochitta |
| Chair: Prof. Tonghui Wang | |||
| Time | Room | Parallel session A2 | |
|---|---|---|---|
| 13.15 - 13.45 | ECB2301 | Desired sample size for estimating the skeweness under normal setting. | Cong Wang |
| 13.45 - 14.15 | ECB2301 | Benfordness of Chains of Truncated Beta Distributions via a Piecewise Constant Approximation. | Teerapot Wiriyakraikul, Songkiat Sumetkijakan and Tippawan Santiwipanont |
| 14.15 - 14.45 | ECB2301 | Simultaneous Confidence Intervals for All Differences of Variances of Log-Normal Distributions. | Warisa Thangjai and Suparat Niwitpong |
| Chair: Prof. Sang-Yeol Lee | |||
| Time | Room | Parallel session A3 | |
|---|---|---|---|
| 13.15 - 13.45 | ECB2302 | Forecasting Exchange Rate with Linear and Non-linear Vector Autoregressive. | Rungrapee Phadkantha,Woraphon Yamaka and Songsak Sriboonchitta |
| 13.45 - 14.15 | ECB2302 | Predictive recursion maximum likelihood for kink regression model. | Noppasit chakpitak,Woraphon Yamaka, and Paravee Maneejuk |
| 14.15 - 14.45 | ECB2302 | The dependence between international crude oil price and Vietnam stock market: Nonlinear cointegration test approach. | WLe Hoang Anh, Tran Phuoc, and Ha Thi Nhu Phuong |
| Chair: Prof. Omorogbe Joseph Asemota | |||
| Time | Room | Parallel session A4 | |
|---|---|---|---|
| 15.00 - 15.30 | Main Hall | Monetary Policy Shocks and Macroeconomic Variables: Evidence from Thailand. | Popkarn Arwatchanakarn |
| 15.30 - 16.00 | Main Hall | Predictive recursion maximum likelihood for kink regression model. | Noppasit chakpitak,Woraphon Yamaka, and Paravee Maneejuk |
| 16.00 - 16.30 | Main Hall | 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 and Pairach Piboonrungroj |
| Chair: Prof. Roengchai Tansuchat | |||
| Time | Room | Parallel session A5 | |
|---|---|---|---|
| 15.00 - 15.30 | ECB2301 | Value at risk of SET returns Based on Bayesian Markov- Switching GARCH Approach. | Petchaluck Boonyakunakorn, Pathairat Pastpipatkul and Songsak Sriboonchitta |
| 15.30 - 16.00 | ECB2301 | Exchange Rates Forecast of an Emerging Economy through an appropriate fitted time series model. | Gnanadarsha Dissanayake and Rasika Yatigammana |
| 16.00 - 16.30 | ECB2301 | An Analysis of Impact of Digital Economy on Change in Thailand is Economic Trends Using Dynamic Stochastic General Equilibrium (DSGE). | Chaiwat Klinlampu, Chukiat Chaiboonsri, Anuphak Saosaovaphak and Jirakom Sirisrisakulchai |
| Chair: Prof. Vladik Kreinovich | |||
| Time | Room | Parallel session A6 | |
|---|---|---|---|
| 15.00 - 15.30 | ECB2302 | Algorithmic Need for Subcopulas. | Thach N. Nguyen, Olga Kosheleva, Vladik Kreinovich and Hoang Phuong Nguyen |
| 15.30 - 16.00 | ECB2302 | Bayesian Extreme Value Optimization Algorithm: Application to forecast the Rubber Futures in Futures Exchange Markets. | Arisara Romyen, Chukiat Chaiboonsri and Satawat Wannapan |
| 16.00 - 16.30 | ECB2302 | Confidence Intervals for Difference between Means and Ratio of Means of Weibull Distribution. | Manussaya La-Ongkaew, Suparat Niwitpong and Sa-Aat Niwitpong |
January 10, 2019
| Chair: Prof. William Briggs | |||
| Time | Room | Plenary session | |
|---|---|---|---|
| 08.00 - 09.00 | Main Hall | Registration | |
| 09.00 - 09.45 | Main Hall | Bayesian modelling structural changes | Cathy Chen |
| 09.45 - 10.30 | Main Hall | Statisticians should not tell scientists what to think. | Donald Bamber |
| 10.30 - 11.15 | Main Hall | On quantum probability calculus for modeling economic decisions | Hung T. Nguyen |
| Chair: Prof. Emmanuel Haven | |||
| Time | Room | Parallel session B1 | |
|---|---|---|---|
| 14.00 - 14.30 | Main Hall | Stability of Vietnam Money Demand Function: An Empirical Application of Multiple Testing with a Structural Break | Hien Bui Quang and Long Pham Dinh |
| 14.30 - 15.00 | Main Hall | Analytic on Long-run equilibrium between Thailand’s Economy and MICE industry using Bayesian inference | Chanamart Intapan, Songsak Sriboonchitta, Chukiat Chaiboonsri and Pairach Piboonrungroj |
| 15.00 - 15.45 | Main Hall | Modeling persistent and periodic weekly rainfall in an environment of an emerging Asian Economy | Thanuja Silva, Sanjaya Dissanayake and Sarath Peiris |
| Chair: Prof. David Trafimow | |||
| Time | Room | Parallel session B2 | |
|---|---|---|---|
| 14.00 - 14.30 | ECB2301 | 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 and Huynh Ngoc Chuong |
| 14.30 - 15.00 | ECB2301 | Impacts of Global Market Volatility and US Dollar on Agricultural Commodity Futures Prices: A Panel Cointegration Approach. | Khunanont Lerkeitthamrong, Chatchai Khiewngamdee and Rossarin Osathanunkul |
| 15.00 - 15.45 | ECB2301 | A Regime Switching Skew-distribution Model of Contagion | Woraphon Yamaka, Payap Tarkhamtham, Paravee Maneejuk and Songsak Sriboonchitta |
| Chair: Prof. Lanh Tran | |||
| Time | Room | Parallel session B3 | |
|---|---|---|---|
| 14.00 - 14.30 | ECB2302 | Trading Signal Analysis with Pairs Trading Strategy in the Stock Exchange of Thailand | Natnarong Namwong, Woraphon Yamaka and Roengchai Tansuchat |
| 14.30 - 15.00 | ECB2302 | Comparison on measures of asymmetric association. | Tonghui Wang |
| 15.00 - 15.45 | ECB2302 | Condence Intervals for the Inverse Mean and Di¤erence of Inverse Means of Normal Distributions with Unknown Coe¢ cients of Variation | Warisa Thangjai, Sa-Aat Niwitpong and Suparat Niwitpong |
| Chair: Prof. Jainxu Liu | |||
| Time | Room | Parallel session B4 | |
|---|---|---|---|
| 16.00 - 16.30 | Main Hall | Using Confirmation Factor Analysis to Construct a Financial Stability Index for Vietnam. | Nguyen Ngoc Thach, Tran Thi Kim Oanh and Huynh Ngoc Chuong |
| 16.30 - 17.00 | Main Hall | Mercury Retrograde and Stock Market Returns in Vietnam. | Nguyen Ngoc Thach and Nguyen Van Diep. |
| 17.00 - 17.30 | Main Hall | Structural Breaks Dependence Analysis of Oil, Natural Gas, and Heating Oil: A Vine-copula Approach. | Nopasit Chakpitak, Payap Tarkhamtham, Woraphon Yamaka and Songsak Sriboochitta |
| Chair: Prof. Chukiat Chaiboonsri | |||
| Time | Room | Parallel session B5 | |
|---|---|---|---|
| 16.00 - 16.30 | ECB2301 | Markov Switching Constant Conditional Correlation GARCH models for hedging on Gold and Crude oil | Noppasit Chakpitak, Pichayakone Rakpho and Woraphon Yamaka |
| 16.30 - 17.00 | ECB2301 | Portfolio optimization of Stock, Oil and Gold returns: A Mixed Copulabased approach. | Sukrit Thongkairat, Woraphon Yamaka and Nopasit Chakpitak |
| 17.00 - 17.30 | ECB2301 | Markov Switching Quantile model with unknown tau for Energy stocks price index Thailand. | Pichayakone Rakpho, Woraphon Yamaka and Songsak Sriboonchitta |
| Chair: Prof. Tonghui Wang | |||
| Time | Room | Parallel session B6 | |
|---|---|---|---|
| 16.00 - 16.30 | ECB2302 | Confidence Intervals for the Mean of Delta-Lognormal Distribution | Patcharee Maneerat, Sa-Aat Niwitpong and Suparat Niwitpong |
| 16.30 - 17.00 | ECB2302 | Confidence intervals for coefficient of variation of three parameters delta-lognormal distribution. | Noppadon Yosboonruang, Suparat Niwitpong and Sa-Aat Niwitpong |
| 17.00 - 17.30 | ECB2302 | Confidence Intervals for Difference between Means and Ratio of Means of Weibull Distribution. | Manussaya La-Ongkaew, Suparat Niwitpong and Sa-Aat Niwitpong |
January 11, 2019
| Chair: Prof. Hung T. Nguyen | |||
| Time | Room | Plenary session | |
|---|---|---|---|
| 08.00 - 09.00 | Main Hall | Registration | |
| 09.00 - 09.45 | Main Hall | How annualized wavelet trading beats the market | Lanh Tran |
| 09.45 - 10.30 | Main Hall | Why the best predictive models are often different from the best explanatory models: A theoretical explanation | Vladik Kreinovich |
| 10.30 - 11.15 | Main Hall | Change Point Test for Time Series Models and Goodness of Fit Test. | Sang-Yeol Lee |
| Chair: Prof. Cathy Chen | |||
| Time | Room | Parallel session C1 | |
|---|---|---|---|
| 13.15 - 13.45 | Main Hall | Kalman filter and structural change. | O.J. Asemota |
| 13.45 - 14.15 | Main Hall | A Regime Switching Vector Error Correction Model of Analysis of Cointegration in Oil, Gold, Stock Markets | Sukrit Thongkairat, Woraphon Yamaka and Songsak Sriboonchitta |
| 14.15 - 14.45 | Main Hall | A Regime switching time-varying copula approach to oil and stock markets dependence: the case of G7 economies. | Rungrapee Phadkantha, Woraphon Yamaka and Songsak Sriboonchitta |
| Chair: Prof. Supanika Leurcharusmee | |||
| Time | Room | Parallel session C2 | |
|---|---|---|---|
| 13.15 - 13.45 | ECB2301 | The Impacts of Macroeconomic Variables on Economic Growth: Evidence from China, Japan, and South Korea. | Wilawan Srichaikul, Woraphon Yamaka and Songsak Sriboonchitta |
| 13.45 - 14.15 | ECB2301 | Determinants of foreign direct investment inflow in ASEAN countries: Panel Threshold approach and panel smooth transistion regression approach. | Noppasit Chakpitak, Wilawan Srichaikul, Woraphon Yamaka and Songsak Sriboonchitta |
| 14.15 - 14.45 | ECB2301 | An Analysis of Stock Market Cycle with Markov Switching and Kink Model. | Konnika Palason and Roengchai Tansuchat |
| Chair: Prof. Jainxu Liu | |||
| Time | Room | Parallel session C3 | |
|---|---|---|---|
| 13.15 - 13.45 | ECB2302 | Technical Efficiency Analysis of Top Agriculture Producing Countries in Asia: Zero Inefficiency Meta-frontier Approach. | Jianxu Liu, Hui Li, Songsak Sriboonchitta and Sanzidur Rahman |
| 13.45 - 14.15 | ECB2302 | Jianxu Liu, Hui Li, Songsak Sriboonchitta and Sanzidur Rahman. | Kewalin Somboon, Chukiat Chaiboonsria, Satawat Wannapana and Songsak Sriboonchitta |
| 14.15 - 14.45 | ECB2302 | Technical Efficiency Analysis of Agricultural Production of BRIC Countries and the United States of America: A CopulaBased Meta-Frontier Approach. | (Jianxu Liu, Yangnan Cheng, Sanzidur Rahman and Songsak Sriboonchitta |
| Chair: Prof. Vladik Kreinovich | |||
| Time | Room | Parallel session C4 | |
|---|---|---|---|
| 15.00 - 15.30 | Main Hall | Comparisons of Confidence Interval for a Ratio of Non-normal Variances Using a Kurtosis Estimator. | Channarong Wongyai and Sirima Suwan |
| 15.30 - 16.00 | Main Hall | Estimating the Difference in the Percentiles of Two DeltaLognormal Indepent Populations. | (Maneerat Jaithun, Sa-Aat Niwitpong and Suparat Niwitpong |