Signal Extraction from the Components of the Philippine National Accounts Statistics Using ARIMA Model-Based Methodology

The state-of-the-art in signal extraction gradually evolved from the use of mechanical form of moving average filters to the present sophisticated model-based techniques capable of performing automatic modeling and signal extraction involving hundreds or even thousands of time series in one production run. The leading edge of technology is being shared by two ARIMA model-based systems – ARIMA X12 of the US Bureau of Census and the twin programs TRAMO-SEATS developed at the Bank of Spain. These specialized expert systems have been adopted by most statistical agencies of advanced OECD countries and the European community. The Philippines on the other hand is still using the ARIMA X11 system modified by the Bank of Canada in its routine seasonal adjustment and time series decomposition tasks. This study is an attempt to implement the ARIMA model-based (AMB) approach of extracting unobserved signals from 194 quarterly national accounts statistics of the Philippines using the TRAMO-SEATS system in a fully automatic modeling mode. The successful result of the application adequately demonstrates the feasibility of adopting a system being used routinely by countries in more advanced economies

Nowcasting Philippine Economic Growth using MIDAS Regression Modeling

Among the most anticipated data releases of the Philippine statistical system is the quarterly real gross domestic product. This all-important variable provides the basis for deriving the economic growth performance of the country on a year-on-year basis. Official publication of this statistics, however, comes at a significant delay of up to two months, upsetting the planning function of various economic stakeholders. Under this backdrop, data scientists coined the term “nowcasting,” which refers to the prediction of the present, the very near future, and the very recent past, based on information provided by available data that are sampled at higher frequencies (monthly, weekly, daily, etc.). Nowcasting, however, opens up the “mixed frequency” problem in forecasting, which is the data frequency asymmetry between the dependent and independent variables of regression models that will be used in forecasting. The central objective of this study is to demonstrate the viability of using a state-of-the-art technique called MIDAS (Mixed Data Sampling) Regression to solve the mixed frequency problem in implementing the “nowcasting” of the country’s economic growth. Different variants of the MIDAS model are estimated using quarterly Real GDP data and monthly data Inflation, Industrial Production, and Philippine Stock Exchange Index. These models are empirically compared against each other and against the models traditionally used by forecasters in the context of mixed frequency. The results indicate the feasibility of adopting the MIDAS framework in accurately predicting future growth of the economy using information from high-frequency economic indicators. Certain MIDAS models considered in the study performed better than traditional forecasting models in both in-sample and out-of-sample forecasting performance

Philippine Air Transportation: Impact and Challenges

With the Philippines’ archipelagic geography, air transport is the most efficient way to connect its islands and boost economic activities. Using the latest Philippine input-output tables (National Statistical Coordination Board, 2006; Philippine Statistics Authority, 2014, 2017), the air transport sector proves to be the leading driver of economic activities. Ranking first relative to all other sectors in the economy, in terms of backward linkages, indicates its general dependence on the rest of the economy for inputs to the services that it provides

Analyzing the Philippines inter-regional market integration for rice

This study examines the existence of the spatial market integration of the different pairs of regional rice markets in the Philippines. By employing modern time series econometric techniques, it uncovered compelling pieces of evidence of strong steady state linkages of the various pair wise combinations of regional markets, with only an insignificant few segregated routes. The main conclusion that was drawn from various inference procedures undertaken in the study is that, despite the geographic segregation of the regional rice markets, and the presence of fragmented and often inefficient distribution system, price signals and other market information are being transmitted efficiently across the markets, thus negating the potential occurrences of unexploited arbitrage opportunities. © EuroJournals Publishing, Inc. 2011

Microeconometric analysis of the eating-out behavior of modern Filipino households: The Tobit, the Craggit and the Heckit models

© 2016 by De La Salle University. Despite the economic and commercial importance of food consumption away from home, very limited attempt has been made to investigate the evolution and economics of this type of food consumption among Filipinos over time. This study hopes to set the pace among local researchers in taking advantage of the availability of high quality primary data of nationwide household surveys to generate useful insights on the “eating out” behavior of modern Filipinos. The study will endeavour to establish the linkage between food demand behaviours and socioeconomic and demographic characteristics of households, highlighting on the difference between wealthy/not wealthy consumers and the increasing role of time constraint on the part of household members in their decision to “eat out”. To supply the dynamic content of the analysis, public use raw data files of several rounds of the Family Income and Expenditure Survey (FIES) are used. Relevant microeconometric models which address censoring, truncation and sample selectivity issues as well as the complex nature of the survey are also implemented. Results of the study confirm the empirical ascendancy of the Heckit model and the significant co-variation of FAFH consumption of Filipino households with its postulated determinants. Also established is the relevance of Engel’s Law to FAFH consumption and the establishment of FAFH as a necessity during the modern era

Lagged effect of TV advertising on sales of an intermittently advertised product

This study is an empirical evaluation of the dynamic effect of intermittent television ad placements on the sales of a consumer product using three classes of distributed lag models. The study is also geared to analytically determine the duration of advertising effects and the dependability of the firm\u27s pulsing type of advertising strategy. Empirical results support the soundness of the company\u27s strategy. Maximum duration of advertising effect is estimated at six months, which is about the largest number of consecutive months the product was not seen on TV during the sample period. © 2008 De La Salle University, Philippines

Consumption pattern of poor households in Metro Manila - A microeconometric evaluation

This study is an attempt to analyze through survey design-consistent consumption profiling the budget allocation pattern of urban poor in Metro Manila. Econometric models of a complete system of Engel curves for the various consumption items are to be employed in the analysis. A value-added characteristic of this research is the incorporation of the complex survey design features of the 2009 Family Income and Expenditure Survey to produce consistent and unbiased standard errors and parameter estimates used in a variety of inferences implemented. © 2013 De La Salle University, Philippines