Академический Документы
Профессиональный Документы
Культура Документы
N. Rangaswamy Ph.D.
Professor & Chairman , Department of Economics, Bangalore University, Bangalore
Chukiat Chaiboonsri
Received a scholarship from the Indian Government study Ph.D. (Economics)
at Bangalore University from 2005-2010.
chukiat1973@yahoo.com
Economics Department
Bangalore University
A
Preface
I would like to thanks Dr. N. Rangaswamy, Professor & Chairman of the Department of
Economics at Bangalore University. He is both my professor and adviser at Bangalore
University for the period from 2005 to 2010. And I would like to thanks ICCR scholarship
(India government organization) that gave funds to me for study a Ph.D.(Economics) at
Bangalore University during the same period. This working paper is a part of the study for
my Ph.D. Furthermore my grateful thanks to Assoc,Prof. Dr. Prasert Chaitip, my father, my
mother, my wife and my relative for their help and support in every way. This working paper
was edited by Macus Vigilante, lecturer at Payap University, Chiang Mai . So I would like
to thanks you and I hope that you can help me on my next paper. Finally my special thanks to
God because He blesses me in every day when I walk with Him.
Department of Economics
Bangalore University
Bangalore, India
16/12/2006
Contents
Page
Preface A
Contents B
Tables C
Figure D
Abstract 1
1. Introduction 2
2. Research Aim and Objective 3
3. Study area in this research 3
4. The research Framework of tourism forecasting
and forecasting methodology
4.1 The method for forecasting a single variable 4
4.1.1 Holt-winter 4
4.1.2 ARIMA Modelling 5
4.1.3 Neural Network Method 9
4.2 The method of forecasting from more variables 11
4.2.1 VAR Model 11
4.2.2 GMM method for time series analysis 12
4.2.3 ARCH-GARCH Model 13
4.2.4 ARCH-M Model and GARCH-M Model 14
4.2.5 TARCH Model 15
4.2.6 EGARCH Model 15
4.2.7 PARCH Model 16
5. The results of the research
5.1 Forecasting accuracy is based on the Mean Absolutes Percent 17
Error(MAPE) of each method (the method of forecasting
from a single variable)
5.2 Forecasting accuracy is based on Mean Absolutes Percent 18
Error(MAPE) for each method(More variable)
5.3 The empirical results of forecasting international tourism demand 19
arrivals to Thailand for 2006-2010.
6. The conclusions of research and policy recommendations 20
Bibliography 21
Appendix A. 24
Appendix B. 25
Page
Figure
Page
Chukiat Chaiboonsri,
Candidate in the Indian Government Ph.D. (Economics) program
at Bangalore University, 2005-2010.
chukiat1973@yahoo.com
N. Rangaswamy Ph.D.
Professor & Chairman , Department of Economics, Bangalore University, Bangalore
Abstract
Forecasting is an essential analytical tool in tourism policy and planning. This paper
focuses on forecasting methods based on two concepts to forecast international tourism
arrivals to Thailand for 2006-2010. The first forecasting method establishes a single
variable and the second forecasting method establishes more variables. The following
forecasting methods were employed in this paper: SARIMA, ARIMA, Holt-Winter-
Additive, Holt-Winter-Multiplicative, Holt-Winter-No seasonal, Neural network, VAR,
GMM estimation for time series analysis, ARCH-GARCH-M, ARCH-GARCH,
TARCH, PARCH and EGARCH. Secondary data were used to produce forecasts of
international tourist arrivals to Thailand for 2006-2010 based on the period 1997-2005.
The results confirm that the best forecasting method based on the first concept is
SARIMA(0,1,1)(0,1,4) and the best forecasting method based on second concept is the
VAR model. Furthermore both the SARIMA model and VAR model predict that
international tourism arrivals to Thailand for 2006-2010 will growth at a positive rate. If
these results can be generalized for future year, then it suggests that both the Thai
government sector and private tourism industry sector should prepare to receive
increasing numbers of international tourist arrivals to Thailand in this period.
-------------------------
* This paper has been accepted for presentation in international conference namely The 2nd SSEASR Conference of SOUTH AND
SOUTHEAST ASIAN ASSOCIATION FOR THE STUDY OF CULTURE AND RELIGION May 24-27, 2007, Thailand
International tourist arrivals and international tourist receipts have traditionally been
used as benchmark aggregate series to assess the overall importance of tourism
worldwide and in specific countries. High international tourist arrival levels may be
used in advertising campaigns and also in political discussions to legitimize and
emphasize the success of a country in the international community. Similarly, sizeable
international tourist receipts can be a good indicator of the role of tourism in an
economy in term of both Gross Domestic Product and foreign exchange generation.
Policy makers may subsequently be convinced to assist tourism development and further
increase profitability from tourism activities. It is not surprising, therefore, that the
majority of World Tourism Organization (WTO) statistics focus on these two time
series reported as levels, annual changes and market shares (Papatheodorou and Song
2005). Furthermore The United Nations Conference on Trade and Development singled
out tourism as the only sector in international trade in services for which developing
countries had experienced positive surpluses in their trade account (UNCTAD, 1998).
Tourism receipts in developing countries, valued at US$ 6 billion in 1980, reached an
unprecedented US$ 62.2 billion in 1996. The prognosis is that this surge will continue, a
manifestation of the growing importance of tourism (Narayan, 2005). The above
information emphasizes that international tourism can generate money for the economy
of developing countries, such as Thailand. In 2003, Thailand 10,082,109 million
international tourists and in the same year Thailand received income from international
tourism of 309,269 million baht. And in 2004, the number of international tourists was
11,737,413 million and the income was 384,359 million baht. This data shows that when
the number of international tourists to Thailand increases, then the income from
international tourists to Thailand also increases. Therefore, if the econometrics approach
is able to forecast the number of international tourist arrivals to Thailand, it will also be
able to forecast the level of income from international tourists. Thus it is an essential
analytical tool in tourism policy and planning.
This paper focus on the econometrics approach for forecasting the number of
international tourist arrival to Thailand for the period 2006-2010 based on data from the
period 1997-2005.
This research aims to seek the best forecasting method for forecasting international
tourist arrivals to Thailand for the period 2006-2010 and to predict the number of
international tourist arrivals to Thailand in this period.
The scope of this research is the period 1997-2010 and mostly the data was secondary
data. The countries used for forecasting international tourist arrivals to Thailand were all
the countries of importance to the international tourism industry of Thailand (source:
Thailand’s Tourism Organization).
The variables used in this research were the number of international tourist arrivals to
Thailand from 1997-2005 to forecast for 2006-2010 and the income growth rate of the
country’s industry based on period 1997-2005 to forecast for 2006-2010.
Tourism forecasting methods can be divided into qualitative and quantitative methods
and causal quantitative techniques. Regardless of the type of forecasting method used,
the usefulness of any tourism demand forecasting model is really determined by the
accuracy of the tourism forecasts that it can generate, as measured by comparison with
actual tourism flows (Mahmoud, 1984). Frechtling (1996, 2001) highlighted five
patterns in a tourism time series: (a) seasonality, (b) stationarity, (c) linear trend, (d)
non-linear trend and (e) stepped series. The time series non-causal approach or
forecasting a single variable approach is limited by the lack of explanatory variables and
it also was best used for short-term to medium-term forecasting. Additionally, in this
approach, it is assumed that the factors related to seasonality, trend and cycle are slow to
change and can be extrapolated in the short term (Kon and Turner, (2005)).
In this paper, two types of time series forecasting methods were used, namely single
variable methods and multi variables methods (Hall, Lilien, Sueyoshi, Engle, Johnston
and Ellsworth (2005)). Examples of single variable forecasting methods are: the Holt-
winter method, the ARIMA method, the SARIMA method and the Neural Network
method. Examples of the second method of forecasting, multi variable, are: the VAR
model, the GMM method, the ARCH-GARCH method, the ARCH-GARCH-M method,
the TARCH method, the EGARCH method and the PARCH method.
4.1.1 Holt-winter
Holt’s method is the basic trend model, Ŷt+1 = estimated level t + trend t , combined with
exponential smoothing as well as where (a) is estimated level t and (b) is trend t. these
two coefficients are defined by the following recursion: (see equation 1E and equation
2E).
Where 0 < α, β < 1 and γ = 0 are damping factors as well as this is an exponential
smoothing method with two parameters and forecasts are computed by : (see equation
3E ).
where
This method is appropriate for series with a linear time trend and additive seasonal
variation and the smoothed series Ŷ t + k is give by: (see equation 4E).
Ŷ t +k = a + b k +c t + k --------- 4E
where
a = estimated level t or intercept term
b = trend t
c = seasonal t + k
Ŷ t +k = time series variable that has been forecasted at time t+k or the smoothed
series Ŷ t +k
also where
a(t) = α (y t – c t( t – s )) + (1- α)( a (t-1) + b( t -1) )
b(t) = β( a(t) – a(t-1)) + 1 – β b( t - 1)
c(t) = γ( y t – a(t +1)) + γct( t - s)
Where 0 < α, β < 1 and γ < 1 are damping factors and s is the seasonal frequency
specified in the cycle for seasonal and forecasts are computed by : ( see equation 5E ).
where
a(T) = a(t)
b(T)k = b(t)
c T+ k - s = c t( t)
ŷ t +k = ( a + b k ) c t + k --------- 6E
where
a = permanent component ( intercept term ) or estimated level t
b = trend t
c t = multiplicative seasonal factor
The above three coefficients from equation 6E are defined by the following recursion:
Where 0 < α, β < 1 and γ < 1 are damping factors and s is the seasonal frequency
specified in the cycle for seasonal and forecasts are computed by : ( see equation 7E ).
As well as where the seasonal factors are used from the last s estimates and where a(T)
= a(t), b(T) = b(t) and c t + k - s = c t (t).
y t = µ + γ1 y t – 1 + γ2 y t – 2 +……+ γp y t – p + ε t --------- 9E
where
y t = time series data
µ = constant term
γ1 = coefficient of AR(p)
And first order moving-average term or MA(1) specification also can be written give by
equation 10E.
The equation 12E as first order autoregressive term (AR(1)) and first order moving-
average term (MA(1)) as well as ARMA(p,q) process can be written give by: (see
equation 13E).
y t = µ + γ1 y t – 1 + γ2 y t – 2 +……+ γp y t – p
+ ε t - θ1 ε t-1 - θ2 ε t-2 -…….- θq ε t-q -------- 13E
where
with
Ø(β ) = 1- Ø1 β - Ø 2 β2 -……- Ø p βp
and
where
Furthermore, full ARIMA(p,d,q) model for time series forecasting also can be written
give by equation 15E.
The BOX-JENKINS(BJ) method which has become the standard for estimating
ARIMA(p,d,q) model was developed by G.E.P Box and G.M Jenkins (Time series
analysis, Forecasting, and control, San Francisco, Holden Day, 1970). The procedure
involves making successive approximation though four stages: Identification,
Estimation, Diagnostic Checking and Forecasting (see figure 1 for more detail).
Estimation
(parameter estimation of
the chosen model)
Diagnostic checking
(Are the estimated
residuals white noise?)
Yes No
Forecasting
From :Gujarati(2003)
Figure 1 : Stage of Box-Jenkins (BJ) method for estimates ARIMA(p,d,q) modelling process.
∆s y t = y t- y t-s
or
∆4 y t = y t- y t-4
Neural network models or ANN models consists of an input layer, and output layer, and
usually one or more hidden layer. Each of these layers contains nodes, and these nodes
are connected to nodes at adjacent layer(s). Figure 2 demonstrates a simplified neural
network with three layers.
Output layer
Y
w1 w2 w3
y2 y3 Hidden layer
y1
w13
w11 w12
w21 w22 w23
x1 x2 Input layer
And figure 2 shows a system of the neural network model and the mathematically of
this model also can be written give by : (see equation 16E)
where
y1 = x 1 w 11 + x 2 w 21
y2 = x1 w 12 + x 2 w 22
y3 = x1 w 13 + x 2 w 23
Finally, Y, a node of the output layer in figure 2 is obtained by the following summation
function : (see equation 18E ).
where
Equation 1E to equation 18E can be written in linear equation function form: (see
equation 19E).
where
A neural network model was used for forecasting tourism demand such as Uysal and
Roubi (1999) to compare the use of the ANN against multiple regression in tourism
demand analysis, Law and AU (1999) used a supervised feed-forward neural network
causal model to forecast annual Japanese tourist arrivals in Hong Kong, Tsaur et al
(2002) used ANNs to analyze guest loyalty to international tourist hotels and find that
ANNs demonstrate satisfactory model-fitting performance and Sen and W.Turher
(2005) used ANNs to forecast internal tourism demand arrivals to Singapore. The above
research shows that the neural network method has become popular for forecasting
tourism demand models.
The vector autoregressive models or VAR models were developed by C.A. Sim in 1980.
These models having the term autoregressive is due to the appearance of the lagged
value of the dependent variable on the right-hand side and the term vector is due to the
fact that of a vector of two (or more) variables. The basic model considered in following
is a vector autoregressive (VAR) model possibly including deterministic terms and with
independent Gaussian error: the k-dimensional time vector yt is generated by a vector
autoregressive process of order p, denoted VAR(p) model(see equation 1F).
where
t = 1,….., T
А i β = coefficient matrices y0 = ( y0 , …., y1-p)
yt = time series data
And the innovation process εt is an unobservable zero-mean white noise process with a
time-invariant positive-definite variance-covariance matrix Σ, εt = yt - E [yt | yt-1] and
which is assumed to be Gaussian : εt ~ NID (0, Σ). Thus the expectation of yt
conditional on the information set yt-1= ( yt-1, yt-2,……., y1-p) as give by : (see equation
2F).
Where
t = 1,….., T
βdt = intercept term
yt ,yt-1 = time series data
Аj = coefficient of VAR model
The information criteria considered the best of VAR model to forecasting are defined as
follow :
where
e = α2 εt y2 t-1
y t-1 = yt as defined in autoregressive spectral
L = - TM/2 (1+log2Π) –T/2log|Ω|
|Ω| = det ( Σi ε ε /T)
M = the number of equation
T = Number of observation
The general method of moment (GMM) as the GMM estimator belongs to a class of
estimators know as M-estimators that are defined by minimizing some criterion
function. This estimator has been developed by Hansen and Singleton (1992) and the
benefits of this method are multiple, for example: the GMM can be made robust to
heteroscedasticity and or autocorrelation of unknown form, GMM is a robust estimator
in that it does not require information of exact distribution of the disturbance and GMM
is an estimator that ensures consistent parameter estimates under a wide variety of
conditions and that does not require the assumption of normality. The GMM**/ estimator
for time series data starts by considering the linear regression model (see equation 1G).
y = xβ + µ ------------- 1G
and
E [ µµ΄ ] = Iσ2
E [ xµ΄ ] = 0 { this is known as an orthogonal condition}
V [ x΄µ ] = (x΄x)σ2
where
E [ µµ΄ ] = expected error term of equation 1G
E [ xµ΄ ] = expected mean of equation 1G
V [ x΄µ ] = variance of equation 1G
The OLS estimator are obtain by minimizing µ΄µ or (y - xβ)΄( y - xβ ) as well as the
generalized method of moment (GMM) estimation method minimizes µ΄x w x΄µ or
(y - xβ)΄x w x΄( y - xβ ) and see equation 2G.
β^ = (x΄x)-1 x΄ y ------------- 2G
(x΄x) β^ = x΄ y ------------- 2G
----------------------
**/ It has been explained by G.S Maddala(2002). Introduction To Econometrics third edition Published by John
Wiley & Son Ltd India.
( x w x΄)(x΄x) β = x΄ y (x w x΄ ) ------------- 3G
^
where
Let z be the set of instruments variable and z is of the same dimension as x as well
as write the orthogonally condition as E(z΄µ ) = 0 and V(z΄µ ) = (z΄z) σ2. The GMM
minimizes µ΄z w z΄ µ or (y - xβ)΄zw z΄( y - xβ ) and take z w z΄ in to equation 4G
both right hand side and left hand side also can be written give by: (see equation 4G).
( z w z΄)(x΄x) β^ = x΄ y (z w z΄ ) -------------------------- 4G
( x΄z) w (z΄x) β^ = (x΄ z) w z΄ y ------------------------- 4G
β GMM = [( x z) w (z x) ] (x z w z΄ y) ---------- 4G
΄ ΄ -1 ΄
^
The covariance matrix of β^GMM is [ x΄z (z΄Ω z)-1 z΄x]-1 and the GMM method has been
used often in the estimation of nonlinear rational expectations model and cases where
Ω= E [ µµ΄ ] has a very general specification.
Yt = β1 X t + β2 X 2 t +…….+ βk X k t + µ t -------------- ( 1H )
-----------------------------
***/ R.Engle, “ Autoregressive Conditional Heteroscedasticity with Estimates of the variance of UK. Inflation, ”
Econometrica, vol. 50 987-1008,1982.
σt 2 = α 0 + α 1 µ2 t –1 + λ1σ2 t –1 --------- ( 4H )
Now the variance of the error term has three components: a constant, last period’s
volatility (the ARCH term), and last period’s variance (the GARCH term). In general
could have any number of ARCH terms and any number of GARCH term and The
GARCH (p,q) model refer to the following equation for σt 2 :( see equation 5G )
The ARCH-M model was developed by Engle, Lilien and Robin(1987) and this model
can be written give by: (see equation 6H ).
yt = x΄t γ + σ2 t γ + εt ------------- 6H
A variant of the ARCH-M specification uses condition standard deviation in place of the
condition variance. And GARCH-M(1,1) also can be written give by: (see equation 7H
and 8H)
GARCH-M(1,1) model :
yt = x΄t γ + S2 t γ + εt ------------- 7H
σt 2 = w + α i ε 2
t + β j σ2 t ---------- 8H
----------------
+/ T. Bollerslev "Generalized Autoregressive Condition Heteroscedasticity" Journal of Econometric vol, 1986, pp 307-236.
where
where d1= 1 if εt < 0 , and 0 otherwise as well as for higher order specifications of the
TARCH model can be written give by: ( see equation 10H)
where
The EGARCH model or Exponential GARCH model was proposed by Nelson (1991)
and the specification for the condition variance give by: ( see equation 11H ).
Where log( σt 2 ) is the log of the condition variance and the present of leverage effect
can be tested by the hypothesis that = γ < 0 as well as the impact is asymmetric if γ ≠
0. For higher order specification of EGARCH model can be written give by: (see
equation 12 H ).
log( σt 2 ) = w + Σqj =1 βj log(σ2 t-j ) + Σp i =1 [ α i | εt-i / σ t-i | + γi (ε t-i/ σ t-i) ] ------ 12H
Where w as constant term and log( σt 2 ) is exponential GARCH(p,q) model and higher
order specification of EGARCH (p,q) was estimated by the generalized error
distribution(GED) can be written give by: (see equation 13H).
Where w as constant term and log(σt 2 ) from equation 13H is exponential GARCH(p,q)
model was estimated by the generalized error distribution(GED) method.
Taylor (1986) and Schwert (1989) introduced the standard deviation GARCH model,
where the standard deviation is modeled rather than the variance. This model, along
with several other model, is generalized in Ding et al. (1993) with the Power ARCH
model (PARCH model) specification. And also the higher order of PARCH model
specification can be written give by: (see equation 14H).
log( σtδ ) = w + Σqj =1 βj (σδ t-j ) + Σp i =1 α i [ |εt-i | - γiε t-i)δ ------ 14H
Where δ > 0, | γi| ≤ 1 for i = 1,….., n , γi = 0 for all i > n, and n ≤ p and the symmetric
model set γi = 0 for all i as well as note that if δ = 2 and γi = 0 for all i, the PARCH
model is simply a stand GARCH model specification. The estimates are maximum
likelihood estimates which are asymptotically efficient for GARCH(p,d) model.
However if the distribution of residuals in not normal distribution, the estimates are still
consistent under quasi-maximum likelihood (QML) assumption. The exponential QME
is consistent even if the condition distribution of y is not exponential and the
exponential therefore QMLE can be written give by : (see equation 15H).
And the log likelihood for normal distribution of QMLE also can be written give by
equation 16H.
where
Two kinds of forecasting methods were employed in this paper for forecasting
international tourist arrival to Thailand for 2006-2010. The first group establishes a
single variable (the number of international tourist arrivals to Thailand) and includes the
following methods: SARIMA, ARIMA, Holt-Winter-Additive, Holt-Winter-
Multiplicative, Holt-Winter-No seasonal and Neural network. The second group of
forecasting methods establishes more than one variable (the number of international
tourist arrivals to Thailand and the growth rate of the country’s industry income). These
forecasting methods, include the VAR model, the GMM estimation for time series
analysis, the ARCH-GARCH-M model, the ARCH-GARCH model, the TARCH model,
the PARCH model and the EGARCH model.
5.1 Forecasting accuracy is based on the Mean Absolutes Percent Error (MAPE)
of each method (the method of forecasting from a single variable)
The variable was used in these method is the number of international tourist arrivals to
Thailand and the table 1 shows forecasting performance accuracy comparisons of the six
methods of forecasting international tourist arrivals to Thailand for 2006-2010. Most
methods are based on the single variable method of forecasting.
Form table 1, the best method to forecasting international tourist arrivals to Thailand
during the specified period is SARIMA(0,1,1)(0,1,4). Because the MAPE(%) of this
method is lower than the other methods such as ARIMA(2,1,3), Holt-Winter-Additive
(three parameter), Holt-Winter-Multiplicative (three parameter), Holt-Winter-No
seasonal (two parameter) and Neural network.
5.2 Forecasting accuracy is based on Mean Absolutes Percent Error (MAPE) for
each method (more variable)
The variables were used in these method such as the number of international tourist
arrivals to Thailand and the growth rate income of industry countries in the world. And
the table 2 shows the empirical findings of the seven methods for forecast international
tourist arrivals to Thailand for 2006-2010. Most method are based on the multi variable
method for forecasting.
Form table 2, the best method for forecasting international tourist arrivals to Thailand
during the specified period is the VAR model. Because the MAPE(%) of this method is
lower than the other methods such as the GMM estimation for time series analysis, the
ARCH-GARCH-M model, the ARCH-GARCH model, the TARCH model, the PARCH
model and the EGARCH model.
Year Q1 Q2 Q3 Q4 Average
(%) (%) (%) (%) per Year
2006 -6.82 -3.86 10.88 5.69 1.47
2007 -2.03 -0.13 4.11 3.74 1.42
2008 -4.43 -1.92 7.39 4.77 1.45
2009 -3.35 -1.07 5.91 4.36 1.46
2010 -3.94 -1.50 6.75 4.64 1.50
From: computed
The table 4 presents the results of forecasting by the VAR model for 2006-2010. Mostly
second quaternary growth rates (except both the first quaternary growth rate in 2006 and
the second quaternary growth rate in 2007 are negative), the third quaternary growth rate
and fourth quaternary growth rate in international tourist arrivals to Thailand are
positive.
Year Q1 Q2 Q3 Q4 Average
(%) (%) (%) (%) per Year
2006 1.07 -1.53 5.29 5.04 2.47
2007 -2.17 -0.39 4.59 5.36 1.85
2008 -2.74 0.98 3.76 5.69 1.92
2009 -3.38 2.62 2.76 6.10 2.02
2010 -4.14 4.58 1.62 6.55 2.15
From: computed
Mostly first quaternary growth rates in international tourist arrivals to Thailand are
negative (except the first quaternary is negative growth). Furthermore the average per
year growth rate is positive as well as average per year growth rate equally between
1.90% and 2.50% during this period. The best method of forecasting international tourist
arrivals to Thailand based on both the SARIMA(0,1,1)(0,1,4) and VAR model indicates
a positive growth rate (average per year) for 2006-2010. Mover over in quaternary three
This paper provides forecasting analysis of international tourist arrivals to Thailand for
2006-2010 based on two categories: (a) Structural Models, in this paper called multi
variable forecasting, (b) Trend Extrapolation Models, in this paper called single
variable forecasting. The Structural Models or methods used for multiple variable
forecasting for predicting the number of international tourist arrival to Thailand for
2006-2010 were the VAR model, the GMM method, the ARCH-GARCH method, the
ARCH-GARCH-M method, the TARCH method, the EGARCH method and the
PARCH method. The Trend Extrapolation Models or methods of forecasting from a
single variable used to forecasts the number of international tourist arrival to Thailand in
this period were the Holt-winter method, the ARIMA method, the SARIMA method and
the Neural Net work method.
If these results can be generalized for future years, then it suggests that both the Thai
government sector and the private tourism industry sector need to prepare for increased
numbers of international tourists to Thailand for 2006-2010 and should ensure that there
are adequate numbers of hotels, transportation, tourist destinations, tourist police units
and airports, and that there is an adequate budget allocated for developing facilities and
human resources and for addressing the environmental impact of increased tourism.
G.S Maddala(2002). Introduction To Econometrics third edition Published by John Wiley &
Son Ltd India.
Andres Papatheodorou and Haiyan Song, (2005). ‘International tourism forecasts: time-series
analysis of world and regional data’. Tourism Economics , Vol 9, No 1, pp 11-25.
Hall, Lilien, Sueyoshi, Engle, Johnston and Ellsworth,(2005). Eviews User Guide version 5.1
Econometric Views for Windows and the Macintosh, Quantitative Micro Software Irvine,
California and printed in the USA.
Paresh Kumar Narayan,(2005). ‘Testing the unit root hypothesis when the alternative is a
trend break stationary process: an application to tourist arrivals in Fiji’.Tourism Economics ,
Vol 11, No 3, pp 351-364.
Rob Law and Norman Au, (1999). ‘A neural network model to forecast Japanese demand for
travel to Hong Kong’. Tourism Management , No 20, pp 89-97.
Sen Cheong Kon and Lindsay W.Turner, (2005). ‘Neural network forecasting of tourism
demand’. Tourism Economics , Vol 11, No 3, pp 301-328.
WTO(2003). ‘First WTO World Tourism Barometer shows steadily improving conditions for
international tourism’, New s Release, 24 June, World Tourism Organization, Madrid.
Jo Chau Vu and Lindsay W. Turner (2006), ‘Regional Data Forecasting Accuracy: The case
of Thailand’. Journal of Travel Research, Vol.45,November pp.186-193.
Ying Wang and Christine Lim (2005) ‘ USING TIME SERIES MODELS TO FORECAST
TOURIST FLOWS’. Department of Tourism, Leisure, Hotel and Sport Management Griffith
University Gold Coast, AUSTRALIA.
Narayan, P.K., and Narayan, S., (2006) Are Devaluations Expansionary or Contractionary?
Empirical Evidence from Fiji, Applied Economics (In Press).
Riaz Shareef and Michael McAleer (2006). ‘Modelling Multivariate Shocks in International
Tourist Arrivals to The Maldives’.School of Economics and commerce, University of
Western Australia.
Michael McAleer, Ria Shareef and Bernardo do Veiga (2006). ‘Managing Daily Tourism Tax
Revenue Risk for the Maldives’. School of Economics and Commerce, University of Western
Australia.
Riaz Shareef and Michael McAleer (2006). ‘ Modelling Multivariate Shocks in International
Tourist Arrivals to the Maldives’. School of Economics and commerce, University of
Western Australia.
Felix Chan, Christine Lim and Michael McAleer (2003) ‘Modelling Multivariate
International Tourism Demand and Volatility’. University of Western Australia.
Edgardo Sica. (2005). ‘Tourism As Determinant of Economics Growth: The Case of South-
East Asian countries’. Faculty of Economics University of Foggia.
Table 5. Forecast the number of international tourist arrivals to Thailand for 2006(Q1)-
2010(Q4) based on the SARIMA forecasting method.
4,500,000.00
4,000,000.00
3,500,000.00
3,000,000.00
2,500,000.00
2,000,000.00
1,500,000.00
1,000,000.00
500,000.00
-
2006 Q2 Q3 Q4 2007 Q2 Q3 Q4 2008 Q2 Q3 Q4 2009 Q2 Q3 Q4 2010 Q2 Q3 Q4
Q1 Q1 Q1 Q1 Q1
VAR method
4,500,000.00
4,000,000.00
3,500,000.00
3,000,000.00
2,500,000.00
2,000,000.00
1,500,000.00
1,000,000.00
111
500,000.00
-
2006 Q2 Q3 Q4 2007 Q2 Q3 Q4 2008 Q2 Q3 Q4 2009 Q2 Q3 Q4 2010 Q2 Q3 Q4
Q1 Q1 Q1 Q1 Q1
From computed.