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Modelling International Monthly Tourist in Spain/Modelización de llegadas mensuales de turistas a España

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  • JUNCAL CUÑADO

    ()
    (Departamento de Economía y Métodos Cuantitativos, UNIVERSIDAD DE NAVARRA, ESPAÑA.)

  • ALBERIKO GIL-ALANA, LUIS

    ()
    (Departamento de Economía y Métodos Cuantitativos, UNIVERSIDAD DE NAVARRA, ESPAÑA.)

  • PEREZ DE GRACIA, FERNANDO

    ()
    (Departamento de Economía y Métodos Cuantitativos, UNIVERSIDAD DE NAVARRA, ESPAÑA.)

Abstract

This article investigates the degree of persistence in the international monthly tourist time series in Spain using long memory (fractional integration) techniques. Our findings can be summarized as follows. The two standard hypotheses of integer degrees of differentiation, i.e., the I(0) and the I(1) behaviour, are clearly rejected. The series is found to be I(d) with a value of d in the interval (0.421, 0.780) thus implying long memory behaviour and mean reverting behaviour. However, if a structural break is considered, it takes place at May 2007, and then, the two subsamples present orders of integration which are above 1 and thus rejecting the mean reverting hypothesis. Este trabajo investiga el grado de persistencia en las llegadas internacionales de turistas a España empleando técnicas de integración fraccional. Los resultados que se obtienen son los siguientes. Los resultados sugieren que las hipótesis de I(0) e I(1) se rechazan y que la serie de llegada de turistas a España se puede modelizar como una serie I(d) donde d toma valores en el intervalo (0.421, 0.780) implicando un proceso de memora larga y con reversion a la media. Sin embargo, teniendo en cuenta la existencia de un cambio estructural, este ocurre en Mayo del 2007, y las dos submuestras son entonces integradas fraccionalmente con un parámetro de integración superior a 1 en ambas submuestras, y rechazando por tanto la hipótesis de reversión a la media.

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Bibliographic Info

Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 29 (2011)
Issue (Month): (Diciembre)
Pages: 723-736

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Handle: RePEc:lrk:eeaart:29_3_3

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Postal: Beatriz Rodríguez Prado. Facultad de CC.EE. y EE. Avda. Valle del Esgueva. Valladolid 47011 SPAIN
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Related research

Keywords: Persistencia; turistas; integración fraccional ; Persistence; Tourists; Fractional Integration.;

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References

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  1. Juncal Cuñado & Luis A. Gil-Alaña, 2007. "Tourism in the Canary Islands: Forecasting Using Several Seasonal Time Series Models," Faculty Working Papers 02/07, School of Economics and Business Administration, University of Navarra.
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