Time Varying Parameter and Fixed Parameter Linear AIDS: An Application to Tourism Demand Forecasting
Li, G, Song, H and Witt, SF (2005) Time Varying Parameter and Fixed Parameter Linear AIDS: An Application to Tourism Demand Forecasting International Journal of Forecasting, 22 (1). 57 - 71. ISSN 0169-2070
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This study develops time varying parameter (TVP) linear almost ideal demand system (LAIDS) models in both long-run (LR) static and short-run error correction (EC) forms. The superiority of TVP-LAIDS models over the original static version and the fixed-parameter EC counterparts is examined in an empirical study of modelling and forecasting the demand for tourism in Western European destinations by UK residents. Both the long-run static and the short-run EC-LAIDS models are estimated using the Kalman filter algorithm. The evolution of demand elasticities over time is illustrated using the Kalman filter estimation results. The remarkably improved forecasting performance of the TVP-LAIDS relative to the fixed-parameter LAIDS is illustrated by a one-year- to four-years-ahead forecasting performance assessment. Both the unrestricted TVP-LR-LAIDS and TVP-EC-LAIDS outperform the fixed-parameter counterparts in the overall evaluation of demand level forecasts, and the TVP-EC-LAIDS is also ranked ahead of most other competitors when demand changes are concerned.
|Additional Information:||NOTICE: this is the author’s version of a work that was accepted for publication in International Journal of Forecasting. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Journal of Forecasting, 22(1), July 2005, DOI 10.1016/j.ijforecast.2005.03.006.|
|Uncontrolled Keywords:||linear almost ideal demand system (LAIDS), error correction, time varying parameter (TVP), Kalman filter, tourism demand, forecasting, ERROR-CORRECTION, UNITED-STATES, INTERNATIONAL TOURISM, ECONOMETRIC-MODELS, FOOD-CONSUMPTION, MARKET SHARES, SYSTEM, COINTEGRATION, GREECE, ELASTICITIES|
|Divisions:||Faculty of Business, Economics and Law > Hospitality and Tourism Management|
|Depositing User:||Mr Adam Field|
|Date Deposited:||03 Feb 2012 10:25|
|Last Modified:||23 Sep 2013 18:49|
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