Persistence in the short and long term tourist arrivals to Australia
- Gil Alaña, Luis Alberiko
- Barros, Carlos P.
- Assaf, Albert
Año de publicación: 2010
Número: 2
Tipo: Documento de Trabajo
Resumen
This study examines the persistence in the international monthly tourist arrivals to Australia by using a variety of models based on fractional integration and seasonal autoregressions. The results based on disaggregated monthly data indicated that the series are on average mean reverting, though highly persistent, and present intense seasonal patterns. A forecasting performance of several competing models was also conducted where it was concluded that the models based on long range dependence outperform others more standard based on non-seasonal and seasonal unit roots. The model based on long memory at zero and the seasonal frequencies seems to be the most accurate in this context. More detailed analysis of the results are also derived.