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

Sajjad Akhtar


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

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