Beyond point forecasting : evaluation of alternative prediction intervals for tourist arrivals

Kim, Jae H., Wong, Kevin, Athanasopoulos, George, & Liu, Shen (2011) Beyond point forecasting : evaluation of alternative prediction intervals for tourist arrivals. International Journal of Forecasting, 27(3), pp. 887-901.

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Abstract

This paper evaluates the performances of prediction intervals generated from alternative time series models, in the context of tourism forecasting. The forecasting methods considered include the autoregressive (AR) model, the AR model using the bias-corrected bootstrap, seasonal ARIMA models, innovations state space models for exponential smoothing, and Harvey’s structural time series models. We use thirteen monthly time series for the number of tourist arrivals to Hong Kong and Australia. The mean coverage rates and widths of the alternative prediction intervals are evaluated in an empirical setting. It is found that all models produce satisfactory prediction intervals, except for the autoregressive model. In particular, those based on the biascorrected bootstrap perform best in general, providing tight intervals with accurate coverage rates, especially when the forecast horizon is long.

Impact and interest:

13 citations in Scopus
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10 citations in Web of Science®

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ID Code: 73234
Item Type: Journal Article
Refereed: Yes
Keywords: Automatic forecasting, Bootstrapping, Interval forecasting
DOI: 10.1016/j.ijforecast.2010.02.014
ISSN: 0169-2070
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Economic Models and Forecasting (140303)
Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > TOURISM (150600) > Tourism Forecasting (150602)
Divisions: Current > Schools > School of Mathematical Sciences
Current > QUT Faculties and Divisions > Science & Engineering Faculty
Copyright Owner: Copyright 2010 International Institute of Forecasters
Deposited On: 02 Jul 2014 23:37
Last Modified: 03 Jul 2014 23:50

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