Time Series Modelling of the Contribution of Agriculture to GDP of Bangladesh

Abstract

The Gross Domestic Product (GDP) is a basic measure of a country's overall economic performance. Bangladesh is basically an agriculture country and therefore agriculture plays important role on GDP. To assist in the decision making process, this article proposes a time series model based on the contribution of Agriculture to GDP from fiscal year 1972 to 2010. In this paper, we have identified ARIMA (1, 2, 1) model as a reasonable model to forecast the yearly growth rate of GDP of Bangladesh. We also found that the GARCH (1, 1) model with a specified set of parameters is the best fit for our concerned data set. The proposed models help to identify the influence of the agricultural sector on GDP.

Key words: GDP, Stationarity, Stochastic Model, Arima Model, Garch Model, AIC, AICc and BIC.