Page 70 - Azerbaijan State University of Economics

THE JOURNAL OF ECONOMIC SCIENCES: THEORY AND PRACTICE, V.71, # 2, 2014, pp. 66-80

(7)

Here, standard backward operator, and on the variable with polynomials

integrated orders and seasonal avtoregressive and moving average ( ).

th order avtoregression term can be noted as follows:

(8)

th order moving average term can be noted as follows:

(9)

th order seasonal avtoregression terms are as follows:

(10)

th order seasonal moving average terms are formulated as follows:

(11)

number of periods in the season. order difference . This can be named

as integrated order. order seasonal difference .

b. Data

The data used in this study were obtained from the statistics bulletin of Central Bank of

Azerbaijan[10].The data covers the period starting from 2009 until 2014 on monthly basis.

3. Implementation of SARIMA and ARIMA models and results of the models.

Models show that the diagnostic results of the model such as - LM test, ARCH test,

normality test become statistical significant. Wheraas White test was statistical insignificant.

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