Tourism in the Canary Islands: Forecasting Using Several Seasonal Time Series Models

Juncal Cuñado () and Luis A. Gil-Alaña ()
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Juncal Cuñado: Universidad de Navarra
Luis A. Gil-Alaña: Universidad de Navarra
Authors registered in the RePEc Author Service: Juncal Cuñado () and Luis Alberiko Gil-Alana

No 02/07, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

Abstract: This 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.

Pages: 32 pages
Date: 2007-01-01
New Economics Papers: this item is included in nep-ecm, nep-for and nep-tur
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Citations: View citations in EconPapers (1)

Published in Journal of Forecasting 27, 621-636 (2008)

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http://www.unav.edu/documents/10174/6546776/1171283617_wp0207.pdf (application/pdf)

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Journal Article: Tourism in the Canary Islands: forecasting using several seasonal time series models (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:una:unccee:wp0207

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