Date of Publication
7-12-2022
Document Type
Bachelor's Thesis
Degree Name
Bachelor of Science in Statistics Major in Actuarial Science
Subject Categories
Mathematics
College
College of Science
Department/Unit
Mathematics and Statistics Department
Thesis Advisor
Marcus Jude P. San Pedro
Defense Panel Chair
Angelo M. Alberto
Defense Panel Member
Benjamin Joseph S. Maligalig
Abstract/Summary
The aim of the study was to predict the monthly growth rate of Regular-Milled rice (RMR) price in the Philippines through a Vector Autoregressive with Exogenous Variable (VARX) Model. The Philippine Real Effective Exchange Rate (REER) difference and the growth rates of the Overseas Filipino Workers’ (OFW) Remittances and the retail price per kilogram of RMR were its endogenous variables, while the growth rates of the climatological data, namely the amount of rainfall, minimum temperature, and maximum temperature, acted as the exogenous variables. Monthly values from January 2012 to December 2020 were used to build the best-fit VARX(2,1) model, which was further simplified by dropping parameters that have t-ratios less than 1. Additionally, the interaction of the RMR Price growth rate with the REER difference posed a general decline, while the response of RMR price growth rate to a shocked OFW Remittances growth rate showed a combination of upward and downward patterns, both across the next twelve months. All RMSE and MAE value estimates were sufficient proof to claim that the VARX model is reliable in providing accurate forecasts.
Abstract Format
html
Language
English
Format
Electronic
Physical Description
47 leaves
Keywords
Rice--Prices--Philippines; Rice—Milling
Recommended Citation
Campos, G. M., Nuñez, A. B., & Villanueva, S. A. (2022). Application of the Vector Autoregressive with Exogenous Variable (VARX) framework in modeling and forecasting the growth rate of regular-milled rice price in the Philippines. Retrieved from https://animorepository.dlsu.edu.ph/etdb_math/14
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Embargo Period
7-12-2022