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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.)

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

Suggested Citation

  • Sajjad Akhtar, 2003. "Is There Seasonality in Pakistan’s Merchandise Exports and Imports? The Univariate Modelling Approach," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 42(1), pages 59-75.
  • Handle: RePEc:pid:journl:v:42:y:2003:i:1:p:59-75
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    1. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    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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