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International Conference of the Thailand Econometrics Society

TES 2018: Predictive Econometrics and Big Data pp 339–349Cite as

Forecasting Thailand’s Exports to ASEAN with Non-linear Models

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Part of the book series: Studies in Computational Intelligence ((SCI,volume 753))

Abstract

This work focuses on forecasting Thailand’s exports to ASEAN. Thailand’s exports to ASEAN reveal an overall increasing trend with a fluctuation since Thailand’s exports are integrated in the global economy. However, the linear model might not be able to capture the behavior of Thailand’s exports to ASEAN. Linear model cannot be applied in some phenomena such as fluctuation and structural breaks in time series data. In this study, we find that the Thailand’s exports-to-ASEAN time series is non-linear via test of linearity, and find that there are two thresholds. Therefore, we forecast Thailand’s exports to ASEAN with non-linear models. We employ four non-linear models, SETAR, LSTAR, MSAR, and Kink AR model. The simple linear AR model is also applied to compare with the non-linear models. To evaluate the forecasting performance of five different models, we use RMSE and MAE as criteria. The forecasting results indicate that the SETAR model is better than the other models. However, it is still not clear cut to conclude that the non-linear models outperform linear model. However, we can conclude that the SETAR is the most suitable for forecasting Thailand’s exports to ASEAN compared with other non-linear models.

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Author information

Authors and Affiliations

  1. Faculty of Economics, Chiang Mai University, Chiang Mai, 52000, Thailand

    Petchaluck Boonyakunakorn

  2. Center of Excellence in Econometrics, Chiang Mai University, Chiang Mai Faculty of Economics, Chiang Mai University, Chiang Mai, 52000, Thailand

    Pathairat Pastpipatkul & Songsak Sriboonchitta

Authors
  1. Petchaluck Boonyakunakorn
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  2. Pathairat Pastpipatkul
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  3. Songsak Sriboonchitta
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Corresponding author

Correspondence to Petchaluck Boonyakunakorn .

Editor information

Editors and Affiliations

  1. Computer Science Department, University of Texas at El Paso, El Paso, Texas, USA

    Vladik Kreinovich

  2. International College, Chiang Mai University, Chiang Mai, Thailand

    Songsak Sriboonchitta

  3. International College, Chiang Mai University, Chiang Mai, Thailand

    Nopasit Chakpitak

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Boonyakunakorn, P., Pastpipatkul, P., Sriboonchitta, S. (2018). Forecasting Thailand’s Exports to ASEAN with Non-linear Models. In: Kreinovich, V., Sriboonchitta, S., Chakpitak, N. (eds) Predictive Econometrics and Big Data. TES 2018. Studies in Computational Intelligence, vol 753. Springer, Cham. https://doi.org/10.1007/978-3-319-70942-0_24

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  • DOI: https://doi.org/10.1007/978-3-319-70942-0_24

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-70941-3

  • Online ISBN: 978-3-319-70942-0

  • eBook Packages: EngineeringEngineering (R0)

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