Testing long-run relationship between agricultural gross domestic product and fruits production: evidence from Pakistan

ABSTRACT: This paper analyses the long-run relationship between agricultural gross domestic product (GDP) and fruits production of Pakistan’s economy over a period of 1961-2015 by employing Johansen and autoregressive distributed lag (ARDL) modern econometric technique. Three fruits were selected namely mango, apple and peach in this study. Augmented Dickey-Fuller and Phillips-Perron tests were used to check the data stationarity and conclude that the series are integrated of order one. The Johansen approach was applied to check the joint evolution of all the variables for co-integration. The Johansen test suggests that a long-run co-integration exists between agricultural GDP and fruits production. Results of the ARDL model (Bound test) detect the existence of long-run relationship between agricultural GDP and fruits production. The coefficient of the short-run form of ARDL model reveals that all the fruits have a positive impact on agricultural GDP. Moreover, the coefficients of the long-run form of ARDL model have apositive and significant influence on agricultural GDP of Pakistan. These results suggest that a 1% increase in mango, apple and peach production will increase agricultural GDP by 0.06%, 0.03% and 0.03% respectively. Finally, forecast error variance decomposition and impulse response function results depict that mango, apple and peach production significantly contributes to agricultural GDP in the case of Pakistan.

摘要：本文运用约翰森协整检验（Johansen）与自回归分布滞后模型（ARDL）这一现代计量经济学方法，分析了1961年至2015年间巴基斯坦经济中农业国内生产总值（GDP）与水果产量之间的长期均衡关系。本研究选取芒果、苹果、桃三种水果作为研究对象。采用增广迪基-富勒检验（Augmented Dickey-Fuller）与菲利普斯-佩罗检验（Phillips-Perron）对数据平稳性进行检验，结果表明所有序列均为一阶单整序列。运用约翰森检验方法考察全部变量的联合演化以验证协整（cointegration）关系，结果显示巴基斯坦农业GDP与水果产量之间存在长期协整（cointegration）关系。ARDL模型的边界检验（Bound test）结果证实了二者间存在长期均衡关系。ARDL模型短期形式的系数结果显示，三种水果产量均对农业GDP产生正向影响。进一步地，ARDL模型长期形式的系数表明，三种水果产量对巴基斯坦农业GDP具有显著的正向影响：芒果、苹果、桃产量每提升1%，将分别带动农业GDP增长0.06%、0.03%与0.03%。最后，预测误差方差分解（forecast error variance decomposition）与脉冲响应函数（impulse response function）结果表明，巴基斯坦的芒果、苹果、桃产量对农业GDP具有显著的贡献度。