The Impact of Seasonal Unit Roots and Vector ARMA Modeling on Forecasting Monthly Tourism Flows

Patrik Gustavsson and Jonas Nordström
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Patrik Gustavsson: Trade Union Institute for Economic Research, Postal: FIEF, Wallingatan 38, SE-111 24 Stockholm, Sweden

No 150, Working Paper Series from Trade Union Institute for Economic Research

Abstract: The effect of imposing different numbers of unit roots on forecasting accuracy is examined using univariate ARMA models. To see whether additional information improves forecasting accuracy and increases the informative forecast horizon, we cross-relate the time series for inbound tourism in Sweden for different visitor categories and estimate vector ARMA models. The mean-squared forecast error for different filters indicates that models in which unit roots are imposed at all frequencies have the smallest forecast errors. The results from the vector ARMA models with all roots imposed indicate that the informative forecast horizon is greater than for the univariate models. Out-of-sample evaluations indicate, however, that the univariate modelling approach may be preferable.

Keywords: Seasonality; Tourism; Demand Analysis; VARMA; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 D12 (search for similar items in EconPapers)
Pages: 22 pages
Date: 1999-04-01, Revised 2000-07-01
New Economics Papers: this item is included in nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Published in Tourism Economics, 2001, pages 117-133.

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Related works:
Journal Article: The Impact of Seasonal Unit Roots and Vector ARMA Modelling on Forecasting Monthly Tourism Flows (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:fiefwp:0150

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