Modeling tourism: A fully identified VECM approach

Carl S Bonham (), Byron Gangnes and Ting Zhou

International Journal of Forecasting, 2009, vol. 25, issue 3, pages 531-549

Abstract: System-based cointegration methods have become popular tools for economic analysis and forecasting. However, the identification of structural relationships is often problematic. Using a theory-directed sequential reduction method suggested by Hall, Henry and Greenslade [Hall, S. G., Henry, S., & Greenslade, J. (2002). On the identification of cointegrated systems in small samples: A modelling strategy with an application to UK wages and prices. Journal of Economic Dynamics and Control, 26, 1517-1537], we estimate a vector error correction model of Hawaii tourism, where both demand and supply-side influences are important. We identify reasonable long-run equilibrium relationships, and Diebold-Mariano tests for forecast accuracy demonstrate satisfactory forecasting performance.

Keywords: Cointegration; Vector; error; correction; model; Identification; Tourism; demand; and; supply; analysis; Tourism; forecasting; Hawaii (search for similar items in EconPapers)
Date: 2009
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Persistent link: http://EconPapers.repec.org/RePEc:eee:intfor:v:25:y:2009:i:3:p:531-549

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