Time series and panel data analysis of crude oil consumption for Indonesia, Malaysia and Thailand | |
| Author | Wichien Tunyasrivorakul |
| Call Number | AIT Thesis no.ET-13-08 |
| Subject(s) | Oil industries--Thailand Crude oil--Indonesia Crude oil--Malaysia Crude oil--Thailand |
| Note | A thesis submitted in partial fulfillment of the requirements for the degree of Master of Engineering in Energy |
| Publisher | Asian Institute of Technology |
| Abstract | Oil is one of the dominant factors to enhance industries of each country. Studying the factors effecting on oil demand such as crude oil price, gross domestic products and price of substitution fuel have attracted interest and attention in several countries. The overall objective in this study was to analyze the long run relationship and examine the causality relationship of Time series data and Panel data of Indonesia, Malaysia and Thailand from 2005 to 2011. This study use ordinary least square (OLS) as equation estimation for estimate the regression model. The Time series data is composed of crude oil demand, real crude oil price, real gross domestic product (GDP), ethanol’s and biodiesel’s price. The unit root was used to test the stationary of data to prevent spurious occurred and the cointegration was used to test the long run relationship between independent variable and dependent variable. Furthermore, causality was used to test the direction of these variable relationships. In Time Series, empirical results suggest all independent variable can reject the unit root. In term of the cointegration test, the results indicate that only regression of OD on GDP can reject the null hypothesis in Indonesia which means there is long run relationship between OD and GDP in Indonesia while all the residual from regression of OD in Malaysia can reject the null hypothesis. That is, all independent variable in Malaysia has long run relationship with oil demand. However, only long run relationship exists between oil demand and ethanol price in Thailand. The results of testing error unit root show that the regression models of three countries have long run relationship. In term of the causality test of Indonesia, oil price granger causes GDP unidirectional. Moreover, there is Granger causality from ethanol price and biodiesel price to oil demand but not vice versa. For Malaysia, we find the evidence that there is causality from oil price to GDP only one direction. For Thailand, the causality test result shows oil price and biodiesel price Granger causes GDP unidirectional. For the Panel data, the study expresses that all value of short run elasticity is less than the long run elasticity. Even though all short run elasticity is not elastic; however, all long run elasticity is vice versa. In addition, the empirical results show that LLC, IPS, ADF and PP-Fisher Chi-square test results identify that all independent variable can reject the null hypothesis while Hadri test results reveal that all variables cannot reject unit root which means they all panel contain unit root. In term of the cointegration test, the evidence illustrates that panel data has no long run relationship among variables. In term of ECM test, the coefficient of μt-1 is negative. This mean △OD is below its equilibrium value. It will start rising in the next period to correct the equilibrium error. For the causality test, the outcomes reveal that oil demand granger causes biodiesel price unidirectional while oil price granger also causes GDP only in one direction. Furthermore, the results shows that GDP has a granger causes on ethanol price and biodiesel price unidirectional. |
| Year | 2013 |
| Corresponding Series Added Entry | Asian Institute of Technology. Thesis ; no. ET-13-08 |
| Type | Thesis |
| School | School of Environment, Resources, and Development (SERD) |
| Department | Department of Energy and Climate Change (Former title: Department of Energy, Environment, and Climate Change (DEECC)) |
| Academic Program/FoS | Energy Technology (ET) |
| Chairperson(s) | Mapaung, Charles O.P. |
| Examination Committee(s) | Dhakal, Shobhakar;Singh, Jai Govind; |
| Scholarship Donor(s) | Royal Thai Government Fellowship;Asian Institute of Technology Fellowship; |
| Degree | Thesis (M. Eng.) - Asian Institute of Technology, 2013 |