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

Jae Kim, Kevin Wong, George Athanasopoulos () and Shen Liu

International Journal of Forecasting, 2011, vol. 27, issue 3, 887-901

Abstract: This paper evaluates the performances 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 Australia. The mean coverage rates and widths of the alternative prediction intervals are evaluated in an empirical setting. It is found that all models produce satisfactory prediction intervals, except for the autoregressive model. In particular, those based on the bias-corrected bootstrap perform best in general, providing tight intervals with accurate coverage rates, especially when the forecast horizon is long.

Keywords: Automatic forecasting; Bootstrapping; Interval forecasting (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (17)

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Journal Article: Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals (2011)
Working Paper: Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:27:y:2011:i:3:p:887-901

DOI: 10.1016/j.ijforecast.2010.02.014

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