The forecasting ability of a cointegrated VAR system of the UK tourism demand for France, Spain and Portugal

• Type: Article in International Scientific Journal
• Date: 2005

Authors

Maria M. De Mello (Author) FEP; Kevin Nell (Author) FEP

Journal

Title: Empirical Economics

Vol. 30 No. 3

Pages: 277-308

ISSN: 0377-7332

Publisher: Springer Nature

Indexing

ISI Web of Knowledge - 21 Citations

Scopus - 27 Citations

Econlit

Scientific classification

FOS: Social sciences > Economics and Business

CORDIS: Social sciences > Economics > Tourism studies

Other information

Authenticus ID: P-000-1GA

DOI: 10.1007/s00181-005-0241-0

Abstract (EN): This paper uses the vector autoregressive (VAR) methodology as an alternative to Deaton and Muellbauer's Almost Ideal Demand System (AIDS), to establish the long-run relationships between l(l) variables: tourism shares, tourism prices and UK tourism budget. With appropriate testing, the deterministic components and sets of exogenous and endogenous variables of the VAR are established, and Johansen's rank test is used to determine the number of cointegrated vectors in the system. The cointegrated VAR structural form is identified and the long-run structural parameters are estimated. Theoretical restrictions such as homogeneity and symmetry are tested and not rejected by the VAR structure. The fully restricted cointegrated VAR model reveals itself a theoretically consistent and statistically robust means to analyse the long-run demand behaviour of UK tourists, and an accurate multi-step forecaster of the destinations' shares when compared with unrestricted reduced form and first differenced VARs, or even with the structural AIDS model.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 32