IDEAS home Printed from https://ideas.repec.org/a/pet/annals/v9i3y2009p147-162.html
   My bibliography  Save this article

Forecasting with X-12-ARIMA and ARFIMA: International Tourist Arrivals to India

Author

Listed:
  • Prasert Chaitip

    (Chiang Mai University, Thailand)

  • Chukiat Chaiboonsri

    (Bangalore University, India)

Abstract

Econometric forecasting involves the application of statistical and mathematical models to forecast future economic developments. This study focuses on forecasting methods based on both X-12-ARIMA seasonal adjustment and an autoregressive fractionally integrated moving average (ARFIMA). Secondary data based on facts and figures that have already been recorded were utilized to forecast international tourist arrivals to India, 2007-2010. From this period the results confirm that the best forecasting method for India based on the X-12-ARIMA seasonal adjustment consisting of X-12-ARIMA(0,1,2)(0,1,1), X-12-ARIMA(0,1,1)(0,1,1) and X-12-ARIMA(2,1,0)(0,1,1) and the best forecasting method based on ARFIMA(p,d,q) method consisting of ARFIMA(1,0.1906,1), ARFIMA(1,0.2562,1), ARFIMA (1,0.2635,1) and ARFIMA(1,0.2951,1). Furthermore these methods predict that international tourism arrivals to India, 2007-2010 will increase at a positive growth rate. If these results can be generalized to a series of future year, then a recommendation from the study under taken should enable both public sector and private sector policy makers to develop a strategic tourism plan to focus on the increasing numbers of international tourist arrivals to India.

Suggested Citation

  • Prasert Chaitip & Chukiat Chaiboonsri, 2009. "Forecasting with X-12-ARIMA and ARFIMA: International Tourist Arrivals to India," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 9(3), pages 147-162.
    • Handle: RePEc:pet:annals:v:9:i:3:y:2009:p:147-162
    as

    Download full text from publisher

    File URL: http://upet.ro/annals/economics/pdf/2009/20090315.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Prasert Chaitip & Chukiat Chaiboonsri & N. Rangaswamy & Siriporn Mcdowall, 2009. "Forecasting with X-12-Arima: International Tourist Arrivals to India," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 9(1), pages 107-128.
    2. Findley, David F. & Wills, Kellie C. & Monsell, Brian C., 2004. "Seasonal adjustment perspectives on "Damping seasonal factors: shrinkage estimators for the X-12-ARIMA program"," International Journal of Forecasting, Elsevier, vol. 20(4), pages 551-556.
    3. Prasanna Gai & Nicholas Vause, 2006. "Measuring Investors' Risk Appetite," International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
    4. Fabio Fornari, 2005. "The rise and fall of US dollar interest rate volatility: evidence from swaptions," BIS Quarterly Review, Bank for International Settlements, September.
    5. Jeffery D Amato, 2005. "Risk aversion and risk premia in the CDS market," BIS Quarterly Review, Bank for International Settlements, December.
    6. Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 127-152, April.
    7. Findley, David F, et al, 1998. "New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 169-177, April.
    8. Richa Dhariwal, 2005. "Tourist Arrivals in India: How Important are Domestic Disorders?," Tourism Economics, , vol. 11(2), pages 185-205, June.
    9. Proietti Tommaso, 2004. "Seasonal Specific Structural Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-22, May.
    10. Chang Shu & Andrew Tsang, 2005. "Adjusting For The Chinese New Year: An Operational Approach," Working Papers 0522, Hong Kong Monetary Authority.
    11. Balogh, Peter & Kovacs, Sandor & Chaiboonsri, Chukiat & Chaitip, Prasert, 2009. "Forecasting with X-12-ARIMA: International tourist arrivals to India and Thailand," APSTRACT: Applied Studies in Agribusiness and Commerce, AGRIMBA, vol. 3(1-2), pages 1-19.
    12. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Prasert Chaitip & Chukiat Chaiboonsri, 2009. "Down Trend Forecasting Method with ARFIMA: International Tourist Arrivals to Thailand," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 9(1), pages 143-150.
    2. Yang, Xin & Pan, Bing & Evans, James A. & Lv, Benfu, 2015. "Forecasting Chinese tourist volume with search engine data," Tourism Management, Elsevier, vol. 46(C), pages 386-397.
    3. Nyoni, Thabani, 2019. ""Incredible India"-an empirical confrimation from the Box-Jenkins ARIMA technique," MPRA Paper 96909, University Library of Munich, Germany.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Prasert Chaitip & Chukiat Chaiboonsri, 2009. "Down Trend Forecasting Method with ARFIMA: International Tourist Arrivals to Thailand," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 9(1), pages 143-150.
    2. Prasert Chaitip & Chukiat Chaiboonsri & N. Rangaswamy & Siriporn Mcdowall, 2009. "Forecasting with X-12-Arima: International Tourist Arrivals to India," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 9(1), pages 107-128.
    3. Balogh, Peter & Kovacs, Sandor & Chaiboonsri, Chukiat & Chaitip, Prasert, 2009. "Forecasting with X-12-ARIMA: International tourist arrivals to India and Thailand," APSTRACT: Applied Studies in Agribusiness and Commerce, AGRIMBA, vol. 3(1-2), pages 1-19.
    4. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    5. M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003. "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 03-071/4, Tinbergen Institute.
    6. Medel, Carlos, 2015. "Inflation Dynamics and the Hybrid Neo Keynesian Phillips Curve: The Case of Chile," MPRA Paper 62609, University Library of Munich, Germany.
    7. Medel, Carlos A., 2014. "The Typical Spectral Shape of an Economic Variable: A Visual Guide with 100 Examples," MPRA Paper 53584, University Library of Munich, Germany.
    8. Zhou, Shenghan & Hu, Chen & Qiao, Xiaoduo & Chang, Wenbing, 2016. "A forecasting method for Chinese civil planes attendance rate based on vague sets," Chaos, Solitons & Fractals, Elsevier, vol. 89(C), pages 518-526.
    9. Nikola Tarashev & Kostas Tsatsaronis, 2006. "Risk premia across asset markets: information from option prices," BIS Quarterly Review, Bank for International Settlements, March.
    10. Giancarlo Bruno & Edoardo Otranto, 2006. "The choice of time interval in seasonal adjustment: A heuristic approach," Statistical Papers, Springer, vol. 47(3), pages 393-417, June.
    11. Yang, Xin & Pan, Bing & Evans, James A. & Lv, Benfu, 2015. "Forecasting Chinese tourist volume with search engine data," Tourism Management, Elsevier, vol. 46(C), pages 386-397.
    12. Mauricio Gallardo & Hernán Rubio, 2009. "Diagnóstico de estacionalidad con X-12-ARIMA," Economic Statistics Series 76, Central Bank of Chile.
    13. Hall, Viv B & Thomson, Peter, 2022. "A boosted HP filter for business cycle analysis: evidence from New Zealand’s small open economy," Working Paper Series 9473, Victoria University of Wellington, School of Economics and Finance.
    14. Kroes, James R. & Manikas, Andrew S. & Gattiker, Thomas F., 2018. "Operational leanness and retail firm performance since 1980," International Journal of Production Economics, Elsevier, vol. 197(C), pages 262-274.
    15. Quenneville, Benoit & Ladiray, Dominique & Lefrancois, Bernard, 2003. "A note on Musgrave asymmetrical trend-cycle filters," International Journal of Forecasting, Elsevier, vol. 19(4), pages 727-734.
    16. Massmann, Michael & Mitchell, James, 2003. "Reconsidering the evidence: Are Eurozone business cycles converging," ZEI Working Papers B 05-2003, University of Bonn, ZEI - Center for European Integration Studies.
    17. Hai Yue Liu & Xiao Lan Chen, 2017. "The imported price, inflation and exchange rate pass-through in China," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1279814-127, January.
    18. Henryk Gurgul & Marcin Suder, 2013. "The Properties of ATMs Development Stages - an Empirical Analysis," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 14(3), pages 443-466, September.
    19. Carlos A. Medel, 2018. "A Comparison Between Direct and Indirect Seasonal Adjustment of the Chilean GDP 1986–2009 with X-12-ARIMA," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(1), pages 47-87, April.
    20. Stefania D'Amico & Athanasios Orphanides, 2008. "Uncertainty and disagreement in economic forecasting," Finance and Economics Discussion Series 2008-56, Board of Governors of the Federal Reserve System (U.S.).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pet:annals:v:9:i:3:y:2009:p:147-162. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Imola Driga (email available below). General contact details of provider: http://www.upet.ro/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.