This paper evaluates the performance of prediction intervals generated from alternative time series models, in the context of tourism forecasting. The forecasting methods considered include the autoregressive (AR) model, the AR model using the bias-corrected bootstrap, seasonal ARIMA models, innovations state-space models for exponential smoothing, and Harvey's structural time series models. We use thirteen monthly time series for the number of tourist arrivals to Hong Kong and to Australia. The mean coverage rate and length of alternative prediction intervals are evaluated in an empirical setting. It is found that the prediction intervals from all models show satisfactory performance, except for those from the autoregressive model. In particular, those based on the bias-corrected bootstrap in general perform best, providing tight intervals with accurate coverage rates, especially when the forecast horizon is long.
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Christoffersen, Peter F, 1998.
"Evaluating Interval Forecasts,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-62, November.