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Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals

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  • Jae H. Kim

    ()

  • Haiyang Song
  • Kevin Wong
  • George Athanasopoulos

    ()

  • Shen Liu

Abstract

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.

Suggested Citation

  • Jae H. Kim & Haiyang Song & Kevin Wong & George Athanasopoulos & Shen Liu, 2008. "Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals," Monash Econometrics and Business Statistics Working Papers 11/08, Monash University, Department of Econometrics and Business Statistics, revised Oct 2009.
  • Handle: RePEc:msh:ebswps:2008-11
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    File URL: http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2008/wp11-08.pdf
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    References listed on IDEAS

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    1. Kim, Jae H., 2003. "Forecasting autoregressive time series with bias-corrected parameter estimators," International Journal of Forecasting, Elsevier, vol. 19(3), pages 493-502.
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    5. Kim, Jae H, 2001. "Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 117-128, January.
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    1. repec:eee:touman:v:45:y:2014:i:c:p:181-193 is not listed on IDEAS
    2. Hassani, Hossein & Silva, Emmanuel Sirimal & Antonakakis, Nikolaos & Filis, George & Gupta, Rangan, 2017. "Forecasting accuracy evaluation of tourist arrivals," Annals of Tourism Research, Elsevier, vol. 63(C), pages 112-127.
    3. Athanasopoulos, George & Hyndman, Rob J. & Song, Haiyan & Wu, Doris C., 2011. "The tourism forecasting competition," International Journal of Forecasting, Elsevier, vol. 27(3), pages 822-844.
    4. Liu, Shen & Maharaj, Elizabeth Ann & Inder, Brett, 2014. "Polarization of forecast densities: A new approach to time series classification," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 345-361.
    5. Liu, Shen & Maharaj, Elizabeth Ann, 2013. "A hypothesis test using bias-adjusted AR estimators for classifying time series in small samples," Computational Statistics & Data Analysis, Elsevier, vol. 60(C), pages 32-49.
    6. repec:eee:touman:v:46:y:2015:i:c:p:322-335 is not listed on IDEAS

    More about this item

    Keywords

    Automatic forecasting; Bootstrapping; Interval forecasting;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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