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Signal Extraction and Forecasting of the UK Tourism Income Time Series. A Singular Spectrum Analysis Approach

Author

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  • Beneki, Christina
  • Eeckels, Bruno
  • Leon, Costas

Abstract

We present and apply the Singular Spectrum Analysis (SSA), a relatively new, non-parametric and data-driven method used for signal extraction (trends, seasonal and business cycle components) and forecasting of the UK tourism income. Our results show that SSA outperforms slightly SARIMA and time-varying parameter State Space Models in terms of RMSE, MAE and MAPE forecasting criteria.

Suggested Citation

  • Beneki, Christina & Eeckels, Bruno & Leon, Costas, 2009. "Signal Extraction and Forecasting of the UK Tourism Income Time Series. A Singular Spectrum Analysis Approach," MPRA Paper 18354, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:18354
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    File URL: https://mpra.ub.uni-muenchen.de/18354/1/MPRA_paper_18354.pdf
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    References listed on IDEAS

    as
    1. Hassani, Hossein, 2007. "Singular Spectrum Analysis: Methodology and Comparison," MPRA Paper 4991, University Library of Munich, Germany.
    2. Leon, Costas & Eeckels, Bruno, 2009. "A Dynamic Correlation Approach of the Swiss Tourism Income," MPRA Paper 15215, University Library of Munich, Germany.
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    1. repec:eee:phsmap:v:483:y:2017:i:c:p:299-308 is not listed on IDEAS
    2. repec:rdg:wpaper:em-dp2013-04 is not listed on IDEAS
    3. Degiannakis, Stavros & Filis, George & Hassani, Hossein, 2015. "Forecasting implied volatility indices worldwide: A new approach," MPRA Paper 72084, University Library of Munich, Germany.
    4. Silva, Emmanuel Sirimal & Ghodsi, Zara & Ghodsi, Mansi & Heravi, Saeed & Hassani, Hossein, 2017. "Cross country relations in European tourist arrivals," Annals of Tourism Research, Elsevier, vol. 63(C), pages 151-168.
    5. repec:eee:reensy:v:114:y:2013:i:c:p:126-136 is not listed on IDEAS
    6. repec:gam:jeners:v:10:y:2017:i:7:p:954-:d:104152 is not listed on IDEAS
    7. Dimitrios Thomakos & Hossein Hassani & Kerry Patterson, 2013. "Optimal Linear Filtering, Smoothing and Trend Extraction for the m-th Differences of a Unit Root Process: A Singular Spectrum Analysis Approach," Economics & Management Discussion Papers em-dp2013-04, Henley Business School, Reading University.
    8. repec:eee:touman:v:46:y:2015:i:c:p:322-335 is not listed on IDEAS
    9. Leon, Costas, 2015. "Decomposition of the European GDP based on Singular Spectrum Analysis," MPRA Paper 65812, University Library of Munich, Germany.

    More about this item

    Keywords

    Singular Spectrum Analysis; Singular Value Decomposition; Business Cycle Decomposition; Tourism Income; United Kingdom; Signal Extraction; Forecasting;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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