Modelling the uncertainty in monthly international tourist arrivals to the Maldives
TL;DR: In this paper, the authors examined the time series properties of monthly international tourist arrivals to the Maldives from eight major tourist source countries, namely Italy, Germany, UK, Japan, France, Switzerland, Austria and the Netherlands, from 1 January 1994 to 31 December 2003.
About: This article is published in Tourism Management.The article was published on 2007-02-01. It has received 96 citations till now. The article focuses on the topics: Tourism.
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TL;DR: In this paper, the authors investigated the contribution of tourism to economic growth in Lebanon for the time period of 1995-2010, applying the bounds testing approach to cointegration and Granger causality tests.
Abstract: This paper investigates the contribution of tourism to economic growth in Lebanon for the time period of 1995–2010. The presence of long-run and causal relationships is investigated applying the bounds testing approach to cointegration and Granger causality tests. Because of the small sample (T = 16), econometric approaches and critical values used for testing receive special attention. Additionally, a number of diagnostic tests are utilised to ensure that the model is suitable and correct. Interestingly, our results reveal that tourism and economic growth are cointegrated. The Granger causality test indicates that the tourism-led growth hypothesis is valid for Lebanon. Therefore, policy initiatives promoting tourism ought to be further developed and implemented to stimulate economic growth and development for the economy of Lebanon.
140 citations
Cites background from "Modelling the uncertainty in monthl..."
...Examples of country-specific frameworks on this topic are Belloumi (2010) for Tunisia; Akinboade and Braimoh (2010) for South Africa; Brida and Risso (2009) for Chile; Brida, Pereyra, Risso, Such, and Zapata (2009) for Colombia; Brida, Sanchez Carrrera, and Risso (2008) for Mexico; Cortés and Pulina (2010) for Italy; Gunduz and Hatemi-J (2005) for Turkey; Dritsakis (2004) for Greece; Balaguer and Cantavella-Jordà (2002) for Spain; Louca (2006) for Cyprus; Narayan and Prasad (2003) for Fiji; Tang (2011b, in press) for Malaysia; Shareef and McAleer (2007) for Maldives; and Vanegas and Croes (2003) for Aruba....
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...…Gunduz and Hatemi-J (2005) for Turkey; Dritsakis (2004) for Greece; Balaguer and Cantavella-Jordà (2002) for Spain; Louca (2006) for Cyprus; Narayan and Prasad (2003) for Fiji; Tang (2011b, in press) for Malaysia; Shareef and McAleer (2007) for Maldives; and Vanegas and Croes (2003) for Aruba....
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...Small sample evidence on the tourism-led growth hypothesis in Lebanon Chor Foon Tanga∗ and Salah Abosedrab aDepartment of Economics, Faculty of Economics and Administration, University of Malaya, Kuala Lumpur, Malaysia; bDepartment of Economics, Lebanese American University, Beirut, Lebanon (Received 16 March 2012; final version received 26 August 2012) This paper investigates the contribution of tourism to economic growth in Lebanon for the time period of 1995–2010....
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TL;DR: In this article, the authors examined the potential advantages of using Singular Spectrum Analysis (SSA) for forecasting tourism demand and concluded that SSA offers significant advantages in forecasting tourist arrivals into the US and is worthy of consideration for other forecasting studies of tourism demand.
130 citations
TL;DR: In this article, a structural time series approach was adopted to evaluate two alternative models, the first with a latent cycle component (LCC) and the second based on specific economic explanatory variables (XCV).
112 citations
Cites methods from "Modelling the uncertainty in monthl..."
...An explorative analysis, based on seasonality ratios (Shareef & McAleer, 2007), suggests that non-deterministic seasonal specifications like those employed in Table 1 Overnight stays in Italy 1985–2002....
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TL;DR: In this paper, the authors applied univariate volatility models to UK tourism demand to the country's most popular international destinations and found that significant volatility models are found for ten of the twelve destinations examined, and that the volatility concept has relevance to tourism demand.
96 citations
TL;DR: In this paper, the authors examined the impact of economic growth, renewable energy, energy consumption, financial developments, trade openness, and urbanization growth on CO2 emissions using the Pooled...
Abstract: This empirical study examines the impact of economic growth, renewable energy, energy consumption, financial developments, trade openness, and urbanization growth on CO2 emissions using the Pooled ...
81 citations
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TL;DR: In this article, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) processes are introduced, which are mean zero, serially uncorrelated processes with nonconstant variances conditional on the past, but constant unconditional variances.
Abstract: Traditional econometric models assume a constant one-period forecast variance. To generalize this implausible assumption, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) processes are introduced in this paper. These are mean zero, serially uncorrelated processes with nonconstant variances conditional on the past, but constant unconditional variances. For such processes, the recent past gives information about the one-period forecast variance. A regression model is then introduced with disturbances following an ARCH process. Maximum likelihood estimators are described and a simple scoring iteration formulated. Ordinary least squares maintains its optimality properties in this set-up, but maximum likelihood is more efficient. The relative efficiency is calculated and can be infinite. To test whether the disturbances follow an ARCH process, the Lagrange multiplier procedure is employed. The test is based simply on the autocorrelation of the squared OLS residuals. This model is used to estimate the means and variances of inflation in the U.K. The ARCH effect is found to be significant and the estimated variances increase substantially during the chaotic seventies.
20,728 citations
TL;DR: In this paper, a natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in 1982 to allow for past conditional variances in the current conditional variance equation is proposed.
17,555 citations
TL;DR: In this article, the authors proposed new tests for detecting the presence of a unit root in quite general time series models, which accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend.
Abstract: SUMMARY This paper proposes new tests for detecting the presence of a unit root in quite general time series models. Our approach is nonparametric with respect to nuisance parameters and thereby allows for a very wide class of weakly dependent and possibly heterogeneously distributed data. The tests accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend. The limiting distributions of the statistics are obtained under both the unit root null and a sequence of local alternatives. The latter noncentral distribution theory yields local asymptotic power functions for the tests and facilitates comparisons with alternative procedures due to Dickey & Fuller. Simulations are reported on the performance of the new tests in finite samples.
16,874 citations
TL;DR: In this article, an exponential ARCH model is proposed to study volatility changes and the risk premium on the CRSP Value-Weighted Market Index from 1962 to 1987, which is an improvement over the widely-used GARCH model.
Abstract: This paper introduces an ARCH model (exponential ARCH) that (1) allows correlation between returns and volatility innovations (an important feature of stock market volatility changes), (2) eliminates the need for inequality constraints on parameters, and (3) allows for a straightforward interpretation of the "persistence" of shocks to volatility. In the above respects, it is an improvement over the widely-used GARCH model. The model is applied to study volatility changes and the risk premium on the CRSP Value-Weighted Market Index from 1962 to 1987. Copyright 1991 by The Econometric Society.
10,019 citations
TL;DR: In this article, a modified GARCH-M model was used to find a negative relation between conditional expected monthly return and conditional variance of monthly return, using seasonal patterns in volatility and nominal interest rates to predict conditional variance.
Abstract: We find support for a negative relation between conditional expected monthly return and conditional variance of monthly return, using a GARCH-M model modified by allowing (1) seasonal patterns in volatility, (2) positive and negative innovations to returns having different impacts on conditional volatility, and (3) nominal interest rates to predict conditional variance. Using the modified GARCH-M model, we also show that monthly conditional volatility may not be as persistent as was thought. Positive unanticipated returns appear to result in a downward revision of the conditional volatility whereas negative unanticipated returns result in an upward revision of conditional volatility. THE TRADEOFF BETWEEN RISK and return has long been an important topic in asset valuation research. Most of this research has examined the tradeoff between risk and return among different securities within a given time period. The intertemporal relation between risk and return has been examined by several authors-Fama and Schwert (1977), French, Schwert, and Stambaugh (1987), Harvey (1989), Campbell and Hentschel (1992), Nelson (1991), and Chan, Karolyi, and Stulz (1992), to name a few. This paper extends that research.
7,837 citations