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Is There Seasonality in Pakistan’s Merchandise Exports and Imports? The Univariate Modelling Approach

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  • Sajjad Akhtar

    (Saudi Arabian Monetary Agency, Riyadh, Saudi Arabia.)

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    Abstract

    This paper investigates the existence of seasonal patterns in the quarterly merchandise export and import data of Pakistan from 1982: 1 to 2002: 1. Unit root tests are applied to determine whether the seasonal component in each variable exhibits stochastic non-stationarity. Deterministic and stochastic effects are isolated and quantified. Few alternate DGP specifications are identified, fitted and tested for their outof- sample forecasting performance. A tentative finding is that deterministic effects are relatively more important than stochastic ones. However, integrated models, i.e., ARIMA, mixed ARIMA, and ARIMA-GARCH, outperform deterministic models with respect to forecasting

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    File URL: http://www.pide.org.pk/pdf/PDR/2003/Volume1/59-75.pdf
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    Bibliographic Info

    Article provided by Pakistan Institute of Development Economics in its journal The Pakistan Development Review.

    Volume (Year): 42 (2003)
    Issue (Month): 1 ()
    Pages: 59-75

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    Handle: RePEc:pid:journl:v:42:y:2003:i:1:p:59-75

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    1. Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
    2. Hans Franses, Philip & Romijn, Gerbert, 1993. "Periodic integration in quarterly UK macroeconomic variables," International Journal of Forecasting, Elsevier, vol. 9(4), pages 467-476, December.
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