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

Author

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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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    File URL: http://www.pide.org.pk/pdf/PDR/2003/Volume1/59-75.pdf
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    References listed on IDEAS

    as
    1. Andrew A. Weiss, 1984. "Arma Models With Arch Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 5(2), pages 129-143, March.
    2. 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.
    3. A. Hafeez SHAIKH & Asad ZAMAN*, 1983. "FORECASTING WITHOUT THEORY: Pakistan’s Export of Cotton and Rice," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 2(1), pages 65-84.
    4. S. Fakre MAHMUD & Mohammed NISHAT*, 1987. "SHORT-TERM FORECASTING: An Application of Box-Jenkins Methods," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 6(1), pages 61-65.
    5. Perron, P, 1993. "Erratum [The Great Crash, the Oil Price Shock and the Unit Root Hypothesis]," Econometrica, Econometric Society, vol. 61(1), pages 248-249, January.
    6. 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.
    7. Rafael Flores & Alfonso Novales, 1997. "A General Test For Univariate Seasonality," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(1), pages 29-48, January.
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    Cited by:

    1. Gulzar Ali & Zhaohua Li, 2017. "An Empirical Investigation on the Role of exports, imports and its Determinants in Foreign Trade of Pakistan," Information Management and Business Review, AMH International, vol. 8(6), pages 39-58.

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