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The Impact of Seasonal Unit Roots and Vector ARMA Modeling on Forecasting Monthly Tourism Flows

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Author Info
Gustavsson, Patrik (Trade Union Institute for Economic Research)
Nordström, Jonas () (Department of Economics, Umeå University)
Abstract

The effect of imposing different numbers of unit roots on forecasting accuracy is examined using univariate ARMA models. To see whether additional information improves forecasting accuracy and increases the informative forecast horizon, we cross-relate the time series for inbound tourism in Sweden for different visitor categories and estimate vector ARMA models. The mean-squared forecast error for different filters indicates that models in which unit roots are imposed at all frequencies have the smallest forecast errors. The results from the vector ARMA models with all roots imposed indicate that the informative forecast horizon is greater than for the univariate models. Out-of-sample evaluations indicate, however, that the univariate modelling approach may be preferable.

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Publisher Info
Paper provided by Trade Union Institute for Economic Research in its series Working Paper Series with number 150.

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Length: 22 pages
Date of creation: 01 Apr 1999
Date of revision: 01 Jul 2000
Publication status: Published in Tourism Economics, 2001, pages 117-133.
Handle: RePEc:hhs:fiefwp:0150

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Related research
Keywords: Seasonality; Tourism; Demand Analysis; VARMA; Forecasting;

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Philip Hans Franses & Timothy J. Vogelsang, 1998. "On Seasonal Cycles, Unit Roots, And Mean Shifts," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 231-240, May. [Downloadable!] (restricted)
  2. Witt, Stephen F. & Witt, Christine A., 1995. "Forecasting tourism demand: A review of empirical research," International Journal of Forecasting, Elsevier, vol. 11(3), pages 447-475, September. [Downloadable!] (restricted)
  3. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238. [Downloadable!] (restricted)
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  4. Perron, Pierre, 1990. "Testing for a Unit Root in a Time Series with a Changing Mean," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 153-62, April.
    Other versions:
  5. Oke, Timothy & Öller, Lars-Erik, 1997. "Testing for Short Memory in a VARMA Process," Working Paper 56, National Institute of Economic Research.
  6. Clements, Michael P. & Hendry, David F., 1997. "An empirical study of seasonal unit roots in forecasting," International Journal of Forecasting, Elsevier, vol. 13(3), pages 341-355, September. [Downloadable!] (restricted)
  7. Clements, M.P. & Hendry, D., 1992. "On the Limitations of Comparing Mean Square Forecast Errors," Economics Series Working Papers 99138, University of Oxford, Department of Economics.
  8. Johansen, Soren & Schaumburg, Ernst, 1998. "Likelihood analysis of seasonal cointegration," Journal of Econometrics, Elsevier, vol. 88(2), pages 301-339, November. [Downloadable!] (restricted)
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  9. Paap, Richard & Franses, Philip Hans & Hoek, Henk, 1997. "Mean shifts, unit roots and forecasting seasonal time series," International Journal of Forecasting, Elsevier, vol. 13(3), pages 357-368, September. [Downloadable!] (restricted)
  10. Hylleberg, Svend, 1995. "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, vol. 69(1), pages 5-25, September. [Downloadable!] (restricted)
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  11. Taylor, A. M. Robert, 1997. "On the practical problems of computing seasonal unit root tests," International Journal of Forecasting, Elsevier, vol. 13(3), pages 307-318, September. [Downloadable!] (restricted)
  12. Clements, Michael P & Hendry, David F, 1996. "Intercept Corrections and Structural Change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 475-94, Sept.-Oct. [Downloadable!] (restricted)
  13. repec:cup:etheor:v:8:y:1992:i:1:p:1-27 is not listed on IDEAS
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Arai, Mahmood & Skogman Thoursie, Peter, 2001. "Incentives and Selection in Cyclical Absenteeism," Working Paper Series 167, Trade Union Institute for Economic Research. [Downloadable!]
    Other versions:
  2. Strauss, Tove, 2000. "Economic Reforms and the Poor," Working Paper Series 164, Trade Union Institute for Economic Research. [Downloadable!]
  3. Strauss, Tove, 2000. "Structural Reforms, Uncertainty, and Private Investment," Working Paper Series 165, Trade Union Institute for Economic Research. [Downloadable!]
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