Advanced Search
MyIDEAS: Login

The Forecasting Ability of a Cointegrated VAR Demand System with Endogeneous vs. Exogenous Expenditure Variable: An application to the UK imports of tourism from neighbouring countries

Contents:

Author Info

  • Margarida de Mello

    ()
    (CETE, Faculdade de Economia da Universidade do Porto)

  • Kevin S. Nell

    (National Institute of Economic Policy)

Abstract

This paper uses Sims’s VAR methodology, as an alternative to Deaton and Muellbauer’s AIDS approach, to establish the long-run relationships between I(1) variables: tourism shares, tourism prices and UK tourism budget. The VAR deterministic components and sets of exogenous and endogenous variables are established, and the Johansen’s rank test is used to determine the cointegrated vectors in the system. The structural form of the cointegrated VAR is identified and the long-run parameters are estimated under several theoretical restrictions. The restricted cointegrated VAR reveals itself a theoretically consistent and statistically robust means to analyse the long-run demand behaviour of UK tourists and an accurate forecaster of the destinations’ shares.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.fep.up.pt/investigacao/workingpapers/wp109.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Universidade do Porto, Faculdade de Economia do Porto in its series FEP Working Papers with number 109.

as in new window
Length: 37 pages
Date of creation: Jul 2001
Date of revision:
Handle: RePEc:por:fepwps:109

Contact details of provider:
Postal: Rua Dr. Roberto Frias, 4200 PORTO
Phone: 351-22-5571100
Fax: 351-22-5505050
Email:
Web page: http://www.fep.up.pt/
More information through EDIRC

Related research

Keywords:

References

References listed on IDEAS
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.:
as in new window
  1. Andreas Papatheodorou, 1999. "The demand for international tourism in the Mediterranean region," Applied Economics, Taylor & Francis Journals, vol. 31(5), pages 619-630.
  2. Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
  3. Pesaran, M.H., 1996. "The Role of Economic Theory in Modelling the Long Run," Cambridge Working Papers in Economics 9612, Faculty of Economics, University of Cambridge.
  4. Deaton, Angus S & Muellbauer, John, 1980. "An Almost Ideal Demand System," American Economic Review, American Economic Association, vol. 70(3), pages 312-26, June.
  5. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  6. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Rui Henrique Alves, 2004. "Europe: Looking for a New Model," FEP Working Papers 154, Universidade do Porto, Faculdade de Economia do Porto.
  2. Sandra Silva, 2009. "On evolutionary technological change and economic growth: Lakatos as a starting point for appraisal," Journal of Evolutionary Economics, Springer, vol. 19(1), pages 111-135, February.
  3. Rosa Forte, 2004. "The relationship between foreign direct investment and international trade. Substitution or complementarity? A survey," FEP Working Papers 140, Universidade do Porto, Faculdade de Economia do Porto.
  4. Maria do Rosario Correia & Scott C. Linn & Andrew Marshall, 2004. "An Empirical Investigation of Debt Contract Design: The Determinants of the Choice of Debt Terms in Eurobond Issues," FEP Working Papers 148, Universidade do Porto, Faculdade de Economia do Porto.
  5. Ana Paula Delgado & Isabel Maria Godinho, 2004. "The evolution of city size distribution in Portugal: 1864-2001," FEP Working Papers 151, Universidade do Porto, Faculdade de Economia do Porto.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:por:fepwps:109. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.