The Forecasting Ability of a Cointegrated VAR Demand System with Endogeneous vs. Exogenous Expenditure Variable: An application to the UK imports of tourism from neighbouring countries
Margarida de Mello () and
Kevin Nell ()
Additional contact information
Margarida de Mello: CETE, Faculdade de Economia da Universidade do Porto
FEP Working Papers from Universidade do Porto, Faculdade de Economia do Porto
This paper uses Sims’s VAR methodology, as an alternative to Deaton and Muellbauer’s AIDS approach, to establish the long-run relationships between I(1) variables: tourism shares, tourism prices and UK tourism budget. The VAR deterministic components and sets of exogenous and endogenous variables are established, and the Johansen’s rank test is used to determine the cointegrated vectors in the system. The structural form of the cointegrated VAR is identified and the long-run parameters are estimated under several theoretical restrictions. The restricted cointegrated VAR reveals itself a theoretically consistent and statistically robust means to analyse the long-run demand behaviour of UK tourists and an accurate forecaster of the destinations’ shares.
Pages: 37 pages
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.fep.up.pt/investigacao/workingpapers/wp109.pdf [301 Moved Permanently]--> https://www.fep.up.pt/investigacao/workingpapers/wp109.pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:por:fepwps:109
Access Statistics for this paper
More papers in FEP Working Papers from Universidade do Porto, Faculdade de Economia do Porto Contact information at EDIRC.
Bibliographic data for series maintained by ().