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

Sajjad Akhtar
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Sajjad Akhtar: Saudi Arabian Monetary Agency, Riyadh, Saudi Arabia.

The Pakistan Development Review, 2003, vol. 42, issue 1, 59-75

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

Date: 2003
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