Analyzing the Effect of Time-Varying Factors for Thai Rice Export

Paravee Maneejuk, Pathairat Pastpipatkul, Songsak Sriboonchitta

Abstract

This paper analyses the time-varying behaviors of some specific factorsthat affect the Thai rice export. We introduce the Markov switching regressionwith time-varying method as a contribution to a discussion on this issue. Thismodel employs the Bayesian approach to do the parameter estimation of thismodel while Kalman filter is applied to predict the time-varying coefficient ineach regime. The result shows that the proposed model is able to capture thereal economic situation very well and can beat the conventional static Markovswitching regression.