Tourism in the Canary Islands: Forecasting using several seasonal time series models

This paper deals with the analysis of the number of tourists travelling to the Canary Islands by means of using different seasonal statistical models. Deterministic and stochastic seasonality is considered. For the latter case, we employ seasonal unit roots and seasonally fractionally integrated models. As a final approach, we also employ a model with possibly different orders of integration at zero and the seasonal frequencies. All these models are compared in terms of their forecasting ability in an out-of-sample experiment. The results in the paper show that a simple deterministic model with seasonal dummy variables and AR(1) disturbances produce better results than other approaches based on seasonal fractional and integer differentiation over short horizons. However, increasing the time horizon, the results cannot distinguish between the model based on seasonal dummies and another using fractional integration at zero and the seasonal frequencies. Juncal Cuñado Universidad de Navarra Depto. Métodos Cuantitativos Campus Universitario 31080 Pamplona [email protected] Luis A. Gil-Alaña Universidad de Navarra Depto. Métodos Cuantitativos Campus Universitario 31080 Pamplona [email protected]