Journal of Quantitative Methods https://ojs.umt.edu.pk/index.php/jqm <p><em>Journal of Quantitative Methods&nbsp;</em>(<em>JQM</em>) is a multidisciplinary bi-annual journal launched in 2017 by the Department of Quantitative Methods, School of Business and Economics (SBE), University of Management and Technology (UMT), Lahore, Pakistan.&nbsp;<em>JQM</em>&nbsp;provides new insights and fosters critical debate about the role of data analysis in business and economics.&nbsp;<em>JQM</em>&nbsp;is a double blind peer-reviewed publication dedicated to the exchange of the latest academic research and practical information on all the aspects of quantitative methods in business and social sciences. The journal publishes original research papers, reviews and case studies by academicians and professionals.</p> School of Business and Economics, University of Management and Technology, Lahore Pakistan en-US Journal of Quantitative Methods 2522-2252 <p><em>JQM</em>&nbsp;follow an open-access publishing policy and full text of all published articles is available free, immediately upon publication of an issue. The journal’s contents are published and distributed under the terms of the <a href="https://creativecommons.org/licenses/by/4.0/">Creative Commons Attribution 4.0 International</a> (<a href="https://creativecommons.org/licenses/by/4.0/">CC-BY 4.0</a>) license. Thus, the work submitted to the journal implies that it is original, unpublished work of the authors (neither published previously nor accepted/under consideration for publication elsewhere). On acceptance of a manuscript for publication, a corresponding author on the behalf of all co-authors of the manuscript will sign and submit a completed&nbsp;the <a href="https://ojs.umt.edu.pk/index.php/jqm/libraryFiles/downloadPublic/44" target="_blank" rel="noopener">Copyright and Author Consent Form.</a></p> Evaluation of Test Statistics for Detection of Outliers and Shifts https://ojs.umt.edu.pk/index.php/jqm/article/view/278 <p style="text-align: justify;"><em>Existence of outliers and structural breaks having mutually unknown nature, in time series data, offer challenges to data analysts in model identification, estimation and validation. Detection of these outliers has been an important area of research in time series since long.&nbsp;To analyze the impact of these structural breaks and outliers on model identification, estimation and their inferential analysis, we use two data generating processes: MA(1) and ARMA(1,1). The performance of the test statistics for detecting additive outlier(AO), innovative outlier(IO), level shift(LS) and transient change(TC) is investigated using simulation strategy through&nbsp;power of a test,&nbsp;empirical level of significance, empirical critical values,&nbsp;misspecification frequencies and&nbsp;sampling distribution of estimators for the two models. The empirical critical values are found higher than the theoretical cut-off points, empirical power of the test statistics is not satisfactory for small sample size, large cut-off points and large model coefficient. We have explored confusion between LS, AO, TC and IO at different critical values(c) by varying sample size. We have also collected empirical evidence from time series data for Pakistan using 3-stage iterative procedure to detect multiple outliers and structural breaks. We find that neglecting shocks lead to wrong identification, biased estimation and excess kurtosis.</em></p> <p><strong><em>JEL Classification Codes: </em></strong>C15, C18, C63, C32, C87, C51, C52, C82</p> <p style="text-align: justify;"><em><strong>AMS Classification Codes:</strong> 62, 65, 91, DI, 62-08, 62J20, 00A72, 91-08, 91-10, 91-11 62P20, 91B82, 91B84, 62M07, 62M09, 62M10, 62M15, 62M20 </em></p> Amena Urooj Zahid Asghar ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2020-10-23 2020-10-23 4 2 54 75 10.29145/2020/jqm/040203 A Panel Data Analysis of Globalization, Peace and Stability: Implications for Governance and the Global Knowledge Economy https://ojs.umt.edu.pk/index.php/jqm/article/view/498 <p><em>This study attempts to explore the relationship between globalization and the knowledge economy via governance. It intends to explain the channel of their relationship through peace and stability. Knowledge economy pillars (Education and Information and communication technology) are used as the dependent variable and globalization is used as an independent variable. To obtain the objectives of the study, the panel data set of 198 countries is used for the period of 1996-2016. The study has employed econometric techniques of panel data set such as the Fixed Effect Model (FEM), Random Effect Model (REM), and Hausman test. The results reveal that globalization has a significant and positive impact on the knowledge economy. Hence the study recommends that the country should execute such reforms that help enhance the globalization and increase the development of the knowledge economy.</em></p> <p><em><strong>JEL Classification Codes: </strong>F60</em></p> Ayaz Zafar Muhammad Tariq Majeed ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2020-08-31 2020-08-31 4 2 25 53 10.29145/2020/jqm/040202 Deviations From Covered Interest Rate Parity: Evaluating Drivers for Changes https://ojs.umt.edu.pk/index.php/jqm/article/view/212 <p style="text-align: justify;"><em>This paper evaluates the deviation from covered interest rate parity (CIP) after the great financial crisis. As a new phenomenon, this deviation has been approached both theoretically (violating the no arbitrage condition) and empirically. Through an extensive literature review, this study maps the possible drivers of the deviation and their proxies. We apply the analysis on a set of countries that are not yet explored in the related literature so far, even though represent a significant part of the foreign exchange market. Regarding the results, a significant weight in the financial drivers is obtained. The result claims for a deeper analysis and opens the possibility to evaluate this phenomenon under a new perspective.&nbsp;&nbsp;</em></p> <p style="text-align: justify;"><em><strong>JEL Classification Codes: </strong>E6, F3, F4</em></p> <p style="text-align: justify;"><em> &nbsp;</em></p> <p>&nbsp;</p> Fernando Chertman ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2020-08-31 2020-08-31 4 2 1 24 10.29145/2020/jqm/040201 Total Factor Productivity Growth, Technological Progress and Technical Efficiency Changes: Productivity Change Dimensions in Tunisia https://ojs.umt.edu.pk/index.php/jqm/article/view/75 <p style="text-align: justify;"><em>In this study, we use the stochastic frontier production approach to split the total productivity growth sources into technical progress and technical efficiency changes of the economic sectors in Tunisia between 1961 and 2014. Based on the sectors’ evolution, the analysis is centred on the technological progress trend, the technical efficiency change, and the role of productivity change in the economic growth. The empirical results show that the production factors have a significant effect on productivity. The review of the total factor productivity growth sources reveals that the contribution of technological progress is the main source of this growth.</em></p> <p style="text-align: justify;"><em><strong>JEL Classification Codes: </strong>C23, D24, L6</em></p> Maha Kalai Kamel Helali ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2020-08-31 2020-08-31 4 2 76 100 10.29145/2020/jqm/040204 Inflation Forecasting under Different Macroeconomic Conditions: A Case Study of Pakistan https://ojs.umt.edu.pk/index.php/jqm/article/view/504 <p style="text-align: justify;"><em>Inflation forecasting is of primary importance not only for the conduct of monetary policy, but also for individuals to make choices. Forecasting inflation provides the precise image of how the economy is expected to accomplish in the future. For forecasting inflation, personal consumption expenditure is used to measure inflation because of its superiority of less sensitivity of price shock and its revision in subsequent years. For inflation forecasting, naive model, ARIMA model, Philips curve model, and Philips curve threshold autoregressive model are applied under different macroeconomic conditions with real-time, revised and final data from 1974 to 2016. The result shows that the naive model is superior to other models because RMSE and MAE of naive model are smaller than other models by using real-time, revised and final data for one year-ahead out-of-sample inflation forecasting. However, for two years ahead out of the sample inflation forecast, the real-time data RMSE shows that the naive model outperforms the other models, whereas the MAE shows that Philips curve threshold autoregressive model is superior than other models. For revised and final data for two years ahead out-of-sample inflation forecasting both forecasting accuracy measures show the naive model performance is the best.</em></p> <p style="text-align: justify;"><em><strong>JEL Classification Codes: </strong>C53</em></p> Iqra Iqbal Ahsan ul Haq Satti ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2020-08-31 2020-08-31 4 2 101 127 10.29145/2020/jqm/040205 An Analysis of the Relationships among Exports, Imports, Physical Capital and Economic Growth in Pakistan https://ojs.umt.edu.pk/index.php/jqm/article/view/339 <p style="text-align: justify;"><em>This review emphasized the relationship among capital formation, economic growth, exports and imports in case of Pakistan scenario using time series data from 1976 to 2015. Augmented Dickey Fuller Test, Johansen Co-integration, Vector error correction model and Granger Causality techniques have been used to check the relationships among exports, imports and economic growth. The results from this study show that the exports, imports, real GDP and gross fixed capital formation have a long run relationship and are co-integrated. This study uses the data of Pakistan and concludes that GDP doesn’t granger cause with the export and import while export and imports do granger cause with the GDP in the long run. Finding of the study also displays that physical capital formation has no impression over GDP. Previous study shows the positive relation among exports, imports, capital formation and economic growth while this study shows that in the long run capital formation and economic growth has no effect. Government subsidizes the exports and also increases the duty bills on imports that help boost the domestic industries manufacture the goods and motivate to produce the best quality of g</em>oods.</p> <p><em><strong>JEL codes: </strong></em>F2, O47</p> Syed Asfand Yar Shah Naeem Ahmad Wasim Aslam Bilal Haider Subhani ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2020-03-02 2020-03-02 4 2 1 1 10.29145/2020/jqm/040105 Investment, Poverty and Growth Nexus in Pakistan: Empirical Evidence from ARDL Modeling Approach to Co-Integration https://ojs.umt.edu.pk/index.php/jqm/article/view/344 <p style="text-align: justify;"><em>This study analyzes the nexus of investment, poverty and growth in Pakistan. It will develop comprehensive macro economic model of Pakistan economy with the desire of amplification and provided that a long-term result for the determined investment-poverty-growth discrepancy veterans. The significant level of investment and sustained economic growth may be the major driving forces for poverty decrease in Pakistan. The level of investment also assists the poor through a direct allocation influence as well as tortuous growth effect, in both the long run and short run. To detect the long term and short term effects of economic development, poverty and investment, an ARDL modeling approach to co- integration is functional, which is the suitable technique &nbsp;in excess of method of integration after examining the stationary level of the data through ADF Test. The bound testing approach is exploited for cointegration to analyze the presence of long term association amid variables and ECM models are verbalized for short term analysis. The model is predictable with time-series data from 1972 to 2013 confine mutually the long-run and short-run forceful goods of the economy. The model is subjected to a sequence of strategy situation &nbsp;that assesses a mixture of options for government to recover the prolific ability of the economy, thus attain continued hasten growth and a decrease in &nbsp;Pakistan`s poverty.</em></p> <p style="text-align: justify;"><em><strong>JEL Classification Codes:</strong> G12, G 14</em></p> Hina Ali Imran Sharif ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2020-03-02 2020-03-02 4 2 1 1 10.29145/2020/jqm/040107 Panel Data Analysis of Press Freedom and Women Empowerment https://ojs.umt.edu.pk/index.php/jqm/article/view/343 <p style="text-align: justify;"><em>More equal economic, social and political rights for women have long been part of civil and political right movements. It is widely believed that women’s rights are important for greater economic prosperity, good governance and social equality. However, women are still being discriminated in many parts of the world. How women’s rights can be protected? To answer this question, the literature has highlighted the importance of free media in promoting women’s rights. The extant literature on media and women rights, however, is largely limited to descriptive analysis and theoretical arguments. Moreover, the available evidence is confined to few case studies and anecdotal stories, which cannot be generalized globally. This study contributes in the literature by empirically investigating the relationship of press freedom with women empowerment using a large panel of 160 countries from 1996 to 2011. For empirical analysis, the ordered logit method is used. The empirical finding confirms that press freedom is an effective tool to empower women’s economic, political and social rights. Findings of the study are shown to be robust to different specifications, sub-samples, regional controls and different forms of women empowerment.</em></p> <p><strong><em>JEL Classifications Codes: </em></strong>C23, J16, Z10</p> Tariq Majeed Amna Malik ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2020-03-02 2020-03-02 4 2 1 1 10.29145/2020/jqm/040106 Contagion in Futures FOREX Markets for the Post- Global Financial Crisis: A Multivariate FIGARCHcDCC Approach https://ojs.umt.edu.pk/index.php/jqm/article/view/73 <p style="text-align: justify;"><em>This paper seeks to investigate the time-varying conditional correlations to&nbsp;</em><em>the futures FOREX market returns. We employ a dynamic conditional&nbsp;</em><em>correlation (DCC) Generalized ARCH (GARCH) model to find potential&nbsp;</em><em>contagion effects among the markets. The under investigation period is&nbsp;</em><em>2014-2019. We focus on four major futures FOREX markets namely&nbsp;</em><em>JPY/USD, KRW/USD, EUR/USD and INR/USD. The empirical results&nbsp;</em><em>show an increase in conditional correlation or contagion for all the pairs</em><em>of future FOREX markets. Based on the dynamic conditional correlations,&nbsp;</em><em>KRW/USD seems to be the safest futures FOREX market. The results are&nbsp;</em><em>of interest to policymakers who provide regulations for the futures FOREX&nbsp;</em><em>markets.</em></p> <p style="text-align: justify;"><em><strong>JEL Classification Codes:</strong> C58, C61, G11, G15</em></p> Konstantinos Tsiaras ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2020-02-28 2020-02-28 4 2 1 1 10.29145/2020/jqm/040102 Event Study and Impulse Indicator Saturation Analysis to Assess Reaction of Terrorist and Political Events: Evidence from Oil and Gas Sector of Pakistan https://ojs.umt.edu.pk/index.php/jqm/article/view/300 <p><em>The objective of this study is twofold, first, to assess the impact of<br>terrorist attacks and political events on returns and volatility oil and gas<br>sector of Karachi Stock Exchange from the period of 2004 to 2014.<br>Second, to compare the results of these events applying event study<br>methodology, event dummy analysis and impulse indicator saturation.<br>Results indicate that the oil and gas sector reacts on the occurrence of<br>terrorism and political events and the results of two methodologies<br>event study and event dummy analysis are almost similar. However,<br>impulse indicator saturation is able to provide better results in<br>comparison to event study and event dummy analysis because as it<br>captures all breaks and co-breaks within a sample period,<br>moreover it clearly helps in defining rebounding period of the market.</em></p> <p><em><strong>JEL Classification Codes:</strong> G12, G14</em></p> Attiya Yasmin Javid Bilal Ahmad ##submission.copyrightStatement## http://creativecommons.org/licenses/by/4.0 2020-02-28 2020-02-28 4 2 1 1 10.29145/2020/jqm/040104