Seasonality and structural breaks: NZ visitor arrivals and 9/11
نویسندگان
چکیده
We analyse monthly short term visitor arrival time series for New Zealand, to assess the effect of the 11 September 2001 terrorist attacks. We demonstrate that while some historical events have had a marked structural effect on trends in those arrivals, 9/11 was not one of these. Our conclusions are drawn on the basis of an initial nonparametric analysis, followed by a new iterative approach to fitting parametric structural break models, motivated by iterative methods for seasonal data. We suggest that iterative estimation methods are a simple but crucially important feature of this approach to seasonal modelling. Consequently, our new approach has potential applications for model-based seasonal adjustment, in addition to the dating of structural changes.
منابع مشابه
Modelling seasonality and multiple structural breaks. Did 9/11 affect visitor arrivals to NZ?
We demonstrate the poor performance, with seasonal data, of existing methods for endogenously dating multiple structural breaks. Motivated by iterative nonparametric techniques, we present a new approach for estimating parametric structural break models that performs well. We suggest that iterative estimation methods are a simple but important feature of this approach to seasonal modelling. The...
متن کاملSeasonality in Tourism and Forecasting Foreign Tourist Arrivals in India
In the present age of globalization, technology-revolution and sustainable development, the presence of seasonality in tourist arrivals is considered as a key policy issue that affects the global tourism industry by creating instability in the demand and revenues. The seasonal component in a time-series distorts the prediction attempts for policy-making. In this context, it is quintessential to...
متن کامل‘i’ve Been to Bali Too’ (and I Will Be Going Back): Are Terrorist Shocks to Bali’s Tourist Arrivals Permanent or Transitory?
International visitor arrivals to Bali are examined using univariate and panel Lagrange Multiplier (LM) unit root tests with one and two structural breaks to ascertain if shocks to the time path of tourist arrivals are permanent or transitory. The univariate LM unit root tests with one and two structural breaks fail to reject the null hypothesis of a unit root in international visitor arrivals ...
متن کاملMultivariate exponential smoothing for forecasting tourist arrivals to Australia and New Zealand
In this paper we propose a new set of multivariate stochastic models that capture time varying seasonality within the vector innovations structural time series (VISTS) framework. These models encapsulate exponential smoothing methods in a multivariate setting. The models considered are the local level, local trend and damped trend VISTS models with an additive multivariate seasonal component. W...
متن کاملWhich OIC countries are catching up? Time Series Evidences with Multiple Structural Breaks
Abstract In this paper, income per capita convergence hypothesis is tested in selected OIC countries. For this purpose, we use the time series model and univariate KPSS stationary test with multiple structural breaks (Carrion-i-Silvestre et al. (2005)) over the period 1950-2008. The results show that most OIC countries could not catch up toward USA. Although because of some positive term of tra...
متن کامل