The forecasting ability of a cointegrated VAR system of the UK tourism demand for France, Spain and Portugal
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 I(1) variables: tourism shares, tourism prices and UK tourism budget. With appropriate testing, the determi...
Gespeichert in:
| Veröffentlicht in: | Empirical economics 2005-09, Vol.30 (2), p.277-308 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 308 |
|---|---|
| container_issue | 2 |
| container_start_page | 277 |
| container_title | Empirical economics |
| container_volume | 30 |
| creator | De Mello, Maria M. Nell, Kevin S. |
| description | 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 I(1) 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. [PUBLICATION ABSTRACT] |
| doi_str_mv | 10.1007/s00181-005-0241-0 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_38232537</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>38232537</sourcerecordid><originalsourceid>FETCH-LOGICAL-c365t-e1416495a3278014cb93da90a5a8e0eba3094c40bf9fd3830375f2edbf9f6d313</originalsourceid><addsrcrecordid>eNpdkD1PwzAQhi0EEqXwA9gsBiYCZ5_dOGNVUUBUAkHLajmJU1IlcbGdof-eRGViuq_nXt29hFwzuGcA6UMAYIolADIBLobkhEyYQJmojLNTMgFM0yRF5OfkIoQdAKCSYkKa9bellfO2MCHW3ZaavG7qeKCuooYWru6i3XoTbUm_5h80HEK07TiMw97mlUbX-zq0tLSt6cpRiS696Qp7Rz_3pu7o2H13PvZb01ySs8o0wV79xSnZLB_Xi-dk9fb0spivkgJnMiaWCTYTmTTIUwVMFHmGpcnASKMs2NwgZKIQkFdZVaLC4TdZcVuO9axEhlNye9Tde_fT2xB1W4fCNo3prOuDRsWRS0wH8OYfuBv-6YbbNOcKmZiJEWJHqPAuBG8rvfd1a_xBM9Cj-fpovh7M16P5GvAXunh2oQ</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>228314647</pqid></control><display><type>article</type><title>The forecasting ability of a cointegrated VAR system of the UK tourism demand for France, Spain and Portugal</title><source>Springer Nature - Complete Springer Journals</source><source>EBSCOhost Business Source Complete</source><creator>De Mello, Maria M. ; Nell, Kevin S.</creator><creatorcontrib>De Mello, Maria M. ; Nell, Kevin S.</creatorcontrib><description>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 I(1) 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. [PUBLICATION ABSTRACT]</description><identifier>ISSN: 0377-7332</identifier><identifier>EISSN: 1435-8921</identifier><identifier>DOI: 10.1007/s00181-005-0241-0</identifier><language>eng</language><publisher>Heidelberg: Springer Nature B.V</publisher><subject>Accuracy ; Cointegration ; Cointegration analysis ; Correlation analysis ; Demand ; Demand analysis ; Demand models ; Economic forecasting ; Economic forecasts ; Economic models ; Economic theory ; Forecasting ; Forecasting techniques ; France ; Model testing ; Parameter estimation ; Portugal ; Regression analysis ; Spain ; Statistical analysis ; Studies ; Time series ; Tourism ; United Kingdom ; Vector-autoregressive models</subject><ispartof>Empirical economics, 2005-09, Vol.30 (2), p.277-308</ispartof><rights>Springer-Verlag 2005</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c365t-e1416495a3278014cb93da90a5a8e0eba3094c40bf9fd3830375f2edbf9f6d313</citedby></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,776,780,27901,27902</link.rule.ids></links><search><creatorcontrib>De Mello, Maria M.</creatorcontrib><creatorcontrib>Nell, Kevin S.</creatorcontrib><title>The forecasting ability of a cointegrated VAR system of the UK tourism demand for France, Spain and Portugal</title><title>Empirical economics</title><description>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 I(1) 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. [PUBLICATION ABSTRACT]</description><subject>Accuracy</subject><subject>Cointegration</subject><subject>Cointegration analysis</subject><subject>Correlation analysis</subject><subject>Demand</subject><subject>Demand analysis</subject><subject>Demand models</subject><subject>Economic forecasting</subject><subject>Economic forecasts</subject><subject>Economic models</subject><subject>Economic theory</subject><subject>Forecasting</subject><subject>Forecasting techniques</subject><subject>France</subject><subject>Model testing</subject><subject>Parameter estimation</subject><subject>Portugal</subject><subject>Regression analysis</subject><subject>Spain</subject><subject>Statistical analysis</subject><subject>Studies</subject><subject>Time series</subject><subject>Tourism</subject><subject>United Kingdom</subject><subject>Vector-autoregressive models</subject><issn>0377-7332</issn><issn>1435-8921</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2005</creationdate><recordtype>article</recordtype><sourceid>BENPR</sourceid><recordid>eNpdkD1PwzAQhi0EEqXwA9gsBiYCZ5_dOGNVUUBUAkHLajmJU1IlcbGdof-eRGViuq_nXt29hFwzuGcA6UMAYIolADIBLobkhEyYQJmojLNTMgFM0yRF5OfkIoQdAKCSYkKa9bellfO2MCHW3ZaavG7qeKCuooYWru6i3XoTbUm_5h80HEK07TiMw97mlUbX-zq0tLSt6cpRiS696Qp7Rz_3pu7o2H13PvZb01ySs8o0wV79xSnZLB_Xi-dk9fb0spivkgJnMiaWCTYTmTTIUwVMFHmGpcnASKMs2NwgZKIQkFdZVaLC4TdZcVuO9axEhlNye9Tde_fT2xB1W4fCNo3prOuDRsWRS0wH8OYfuBv-6YbbNOcKmZiJEWJHqPAuBG8rvfd1a_xBM9Cj-fpovh7M16P5GvAXunh2oQ</recordid><startdate>20050901</startdate><enddate>20050901</enddate><creator>De Mello, Maria M.</creator><creator>Nell, Kevin S.</creator><general>Springer Nature B.V</general><scope>AAYXX</scope><scope>CITATION</scope><scope>0U~</scope><scope>1-H</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>8AO</scope><scope>8BJ</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FQK</scope><scope>FRNLG</scope><scope>F~G</scope><scope>JBE</scope><scope>K60</scope><scope>K6~</scope><scope>K8~</scope><scope>L.-</scope><scope>L.0</scope><scope>M0C</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>Q9U</scope></search><sort><creationdate>20050901</creationdate><title>The forecasting ability of a cointegrated VAR system of the UK tourism demand for France, Spain and Portugal</title><author>De Mello, Maria M. ; Nell, Kevin S.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c365t-e1416495a3278014cb93da90a5a8e0eba3094c40bf9fd3830375f2edbf9f6d313</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2005</creationdate><topic>Accuracy</topic><topic>Cointegration</topic><topic>Cointegration analysis</topic><topic>Correlation analysis</topic><topic>Demand</topic><topic>Demand analysis</topic><topic>Demand models</topic><topic>Economic forecasting</topic><topic>Economic forecasts</topic><topic>Economic models</topic><topic>Economic theory</topic><topic>Forecasting</topic><topic>Forecasting techniques</topic><topic>France</topic><topic>Model testing</topic><topic>Parameter estimation</topic><topic>Portugal</topic><topic>Regression analysis</topic><topic>Spain</topic><topic>Statistical analysis</topic><topic>Studies</topic><topic>Time series</topic><topic>Tourism</topic><topic>United Kingdom</topic><topic>Vector-autoregressive models</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>De Mello, Maria M.</creatorcontrib><creatorcontrib>Nell, Kevin S.</creatorcontrib><collection>CrossRef</collection><collection>Global News & ABI/Inform Professional</collection><collection>Trade PRO</collection><collection>ProQuest Central (Corporate)</collection><collection>ABI/INFORM Collection</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Global (Alumni Edition)</collection><collection>ProQuest Pharma Collection</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni Edition)</collection><collection>ProQuest Central UK/Ireland</collection><collection>ProQuest Central</collection><collection>Business Premium Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central Korea</collection><collection>International Bibliography of the Social Sciences</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>International Bibliography of the Social Sciences</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>DELNET Management Collection</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM Professional Standard</collection><collection>ABI/INFORM Global</collection><collection>One Business (ProQuest)</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central Basic</collection><jtitle>Empirical economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>De Mello, Maria M.</au><au>Nell, Kevin S.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>The forecasting ability of a cointegrated VAR system of the UK tourism demand for France, Spain and Portugal</atitle><jtitle>Empirical economics</jtitle><date>2005-09-01</date><risdate>2005</risdate><volume>30</volume><issue>2</issue><spage>277</spage><epage>308</epage><pages>277-308</pages><issn>0377-7332</issn><eissn>1435-8921</eissn><abstract>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 I(1) 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. [PUBLICATION ABSTRACT]</abstract><cop>Heidelberg</cop><pub>Springer Nature B.V</pub><doi>10.1007/s00181-005-0241-0</doi><tpages>32</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0377-7332 |
| ispartof | Empirical economics, 2005-09, Vol.30 (2), p.277-308 |
| issn | 0377-7332 1435-8921 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38232537 |
| source | Springer Nature - Complete Springer Journals; EBSCOhost Business Source Complete |
| subjects | Accuracy Cointegration Cointegration analysis Correlation analysis Demand Demand analysis Demand models Economic forecasting Economic forecasts Economic models Economic theory Forecasting Forecasting techniques France Model testing Parameter estimation Portugal Regression analysis Spain Statistical analysis Studies Time series Tourism United Kingdom Vector-autoregressive models |
| title | The forecasting ability of a cointegrated VAR system of the UK tourism demand for France, Spain and Portugal |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-30T12%3A17%3A58IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=The%20forecasting%20ability%20of%20a%20cointegrated%20VAR%20system%20of%20the%20UK%20tourism%20demand%20for%20France,%20Spain%20and%20Portugal&rft.jtitle=Empirical%20economics&rft.au=De%20Mello,%20Maria%20M.&rft.date=2005-09-01&rft.volume=30&rft.issue=2&rft.spage=277&rft.epage=308&rft.pages=277-308&rft.issn=0377-7332&rft.eissn=1435-8921&rft_id=info:doi/10.1007/s00181-005-0241-0&rft_dat=%3Cproquest_cross%3E38232537%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=228314647&rft_id=info:pmid/&rfr_iscdi=true |