Tourism in the Canary Islands: Forecasting Using Several Seasonal Time Series Models
AbstractThis paper deals with the analysis of the number of tourists travelling to the Canary Islands by means of using different seasonal statistical models. Deterministic and stochastic seasonality is considered. For the latter case, we employ seasonal unit roots and seasonally fractionally integrated models. As a final approach, we also employ a model with possibly different orders of integration at zero and the seasonal frequencies. All these models are compared in terms of their forecasting ability in an out-of-sample experiment. The results in the paper show that a simple deterministic model with seasonal dummy variables and AR(1) disturbances produce better results than other approaches based on seasonal fractional and integer differentiation over short horizons. However, increasing the time horizon, the results cannot distinguish between the model based on seasonal dummies and another using fractional integration at zero and the seasonal frequencies.
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Bibliographic InfoPaper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 02/07.
Length: 32 pages
Date of creation: 2007
Date of revision:
Publication status: Published in Journal of Forecasting 27, 621-636 (2008)
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Web page: http://www.unav.es/facultad/econom
Other versions of this item:
- 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.
- NEP-ALL-2007-02-24 (All new papers)
- NEP-ECM-2007-02-24 (Econometrics)
- NEP-FOR-2007-02-24 (Forecasting)
- NEP-TUR-2007-02-24 (Tourism Economics)
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