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Persistence, seasonality, and fractional integration within a nonlinear framework: Evidence from US citizens’ overseas travel

Author

Listed:
  • Luis A Gil-Alana

    (16754University of Navarra, Spain)

  • James E Payne

    (122613The University of Texas at El Paso, USA)

Abstract

This research note examines data on US citizens’ overseas air passenger travel with respect to the degree of persistence, seasonality, nonlinearities, and fractional integration. Based on seasonally differenced data with allowance for autocorrelated errors, we find evidence of nonlinearity with moderate persistence and mean reversion in US overseas air travel. The results suggest that shocks to US overseas air travel will dissipate over time, and as such, the observed persistence and nonlinearity can provide useful information in the modeling and forecasting of future behavior.

Suggested Citation

  • Luis A Gil-Alana & James E Payne, 2022. "Persistence, seasonality, and fractional integration within a nonlinear framework: Evidence from US citizens’ overseas travel," Tourism Economics, , vol. 28(3), pages 654-660, May.
    • Handle: RePEc:sae:toueco:v:28:y:2022:i:3:p:654-660
    DOI: 10.1177/1354816620962428
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    References listed on IDEAS

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    1. Luis A. Gil-Alana, 2010. "International Arrivals in the Canary Islands: Persistence, Long Memory, Seasonality and other Implicit Dynamics," Tourism Economics, , vol. 16(2), pages 287-302, June.
    2. J. Cunado & L.A. Gil-Alana & F. Perez de Gracia, 2008. "Persistence in International Monthly Arrivals in the Canary Islands," Tourism Economics, , vol. 14(1), pages 123-129, March.
    3. Luis Gil-Alana & Christian Fischer, 2010. "International travelling and trade: further evidence for the case of Spanish wine based on fractional vector autoregressive specifications," Applied Economics, Taylor & Francis Journals, vol. 42(19), pages 2417-2434.
    4. Bierens, Herman J., 1997. "Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate," Journal of Econometrics, Elsevier, vol. 81(1), pages 29-64, November.
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    6. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328.
    7. Gil-Alana & Andrea Mervar & Payne, 2015. "Measuring persistence in Croatian tourism: evidence from the Adriatic region," Applied Economics, Taylor & Francis Journals, vol. 47(46), pages 4901-4917, October.
    8. Nicholas Apergis & Andrea Mervar & James E. Payne, 2017. "Forecasting disaggregated tourist arrivals in Croatia," Tourism Economics, , vol. 23(1), pages 78-98, February.
    9. Jorge M. L. Andraz & Raúl F. C. Guerreiro & Paulo M. M. Rodrigues, 2018. "Persistence of travel and leisure sector equity indices," Empirical Economics, Springer, vol. 54(4), pages 1801-1825, June.
    10. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2019. "UK overseas visitors: Seasonality and persistence," Tourism Economics, , vol. 25(5), pages 827-831, August.
    11. Jorge V Pérez-Rodríguez & María Santana-Gallego, 2020. "Modelling tourism receipts and associated risks, using long-range dependence models," Tourism Economics, , vol. 26(1), pages 70-96, February.
    12. Luis Alberiko Gil-Alana & José L. Ruiz-Alba & Raquel Ayestarán, 2020. "UK tourism arrivals and departures: seasonality, persistence and time trends," Applied Economics, Taylor & Francis Journals, vol. 52(46), pages 5077-5087, October.
    13. J. Cunado & L.A. Gil-Alana & F. Pérez de Gracia, 2004. "Modelling Monthly Spanish Tourism: A Seasonal Fractionally Integrated Approach," Tourism Economics, , vol. 10(1), pages 79-94, March.
    14. J. Cunado & L.A. Gil-Alana & F. Péarez de Gracia, 2005. "The Nature of Seasonality in Spanish Tourism Time Series," Tourism Economics, , vol. 11(4), pages 483-499, December.
    15. James E Payne & Luis A Gil-Alana, 2018. "Data measurement and the change in persistence of tourist arrivals to the United States in the aftermath of the September 11th terrorist attacks," Tourism Economics, , vol. 24(1), pages 41-50, February.
    16. Luis A. Gil-Alana & Juncal Cunado & Fernando Perez de Gracia, 2008. "Tourism in the Canary Islands: forecasting using several seasonal time series models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 621-636.
    17. Gil-Alana, Luis A. & Huijbens, Edward H., 2018. "Tourism in Iceland: Persistence and seasonality," Annals of Tourism Research, Elsevier, vol. 68(C), pages 20-29.
    18. J. Cunado & L.A. Gil-Alana & F. P Erez de Gracia, 2008. "Fractional Integration and Structural Breaks: Evidence from International Monthly Arrivals in the USA," Tourism Economics, , vol. 14(1), pages 13-23, March.
    19. Luis A. Gil-Alana & Andrea Mervar & James E. Payne, 2016. "Modeling the degree of persistence in Croatian tourism," Tourism Economics, , vol. 22(3), pages 655-664, June.
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