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Fractional Integration and Structural Breaks: Evidence from International Monthly Arrivals in the USA

Author

Listed:
  • J. Cunado
  • L.A. Gil-Alana
  • F. P Erez de Gracia

Abstract

This paper proposes a new modelling approach for the total number of international monthly arrivals in the USA using fractional integration with a structural break that is endogenously determined by the model. As expected, the results show that the break date occurs at September 2001. Disaggregating the data according to the location of origin for the arrivals, the break at September 2001 is also found in most cases, the only exceptions being Canada (February 1998) and the Middle East (September 2000). More importantly, the fact that the orders of integration of all series are strictly smaller than one implies that the series are mean reverting. Thus, the negative shock produced by the 9/11 terrorist attacks should be transitory and no strong policies should be implemented to recover the number of arrivals in the USA.

Suggested Citation

  • J. Cunado & L.A. Gil-Alana & F. P Erez de Gracia, 2008. "Fractional Integration and Structural Breaks: Evidence from International Monthly Arrivals in the USA," Tourism Economics, , vol. 14(1), pages 13-23, March.
    • Handle: RePEc:sae:toueco:v:14:y:2008:i:1:p:13-23
    DOI: 10.5367/000000008783554884
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    References listed on IDEAS

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    Cited by:

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    2. Chew Ging Lee, 2009. "Research Note: The Convergence Hypothesis for Tourism Markets: Evidence from Singapore," Tourism Economics, , vol. 15(4), pages 875-881, December.
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    4. Luis A Gil-Alana & James E Payne, 2022. "Persistence, seasonality, and fractional integration within a nonlinear framework: Evidence from US citizens’ overseas travel," Tourism Economics, , vol. 28(3), pages 654-660, May.
    5. Luis A Gil-Alana & à gueda Gil-López & Elena San Román, 2021. "Tourism persistence in Spain: National versus international visitors," Tourism Economics, , vol. 27(4), pages 614-625, June.
    6. James E Payne & Junsoo Lee, 2024. "Global perspective on the permanent or transitory nature of shocks to tourist arrivals: Evidence from new unit root tests with structural breaks and factors," Tourism Economics, , vol. 30(1), pages 67-103, February.
    7. Alan King, 2010. "The Effect Of 9/11 On Us Exports And Imports Of Tourism," Defence and Peace Economics, Taylor & Francis Journals, vol. 21(5-6), pages 535-546.
    8. Rim Ammar Lamouchi, 2020. "Long Memory and Stock Market Efficiency: Case of Saudi Arabia," International Journal of Economics and Financial Issues, Econjournals, vol. 10(3), pages 29-34.
    9. James E Payne & Luis A Gil-Alana, 2018. "Data measurement and the change in persistence of tourist arrivals to the United States in the aftermath of the September 11th terrorist attacks," Tourism Economics, , vol. 24(1), pages 41-50, February.
    10. Ahmed Muhamad Omer & Mehmet Yeşiltaş, 2020. "“Modeling the impact of wars and terrorism on tourism demand in Kurdistan region of Iraq”," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 19(3), pages 301-322, September.

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