The Nature of Seasonality in Spanish Tourism Time Series

2005 ◽  
Vol 11 (4) ◽  
pp. 483-499 ◽  
Author(s):  
J. Cunado ◽  
L.A. Gil-Alana ◽  
F. Péarez de Gracia
Keyword(s):  
Time Series ◽  
White Noise ◽  
Unit Roots ◽  
Testing Procedure ◽  
Fractional Differentiation ◽  
Integrated Models ◽  
Seasonal Unit Roots ◽  
Long Run ◽  
Noise Disturbances ◽  
Hotel Accommodation

This paper deals with the analysis of seasonality in the context of tourism time series. The authors present a general testing procedure that permits them to consider the cases of deterministic and/or stochastic (with integer and fractional differentiation) seasonality in a unified treatment. The procedure is applied to four Spanish tourism time series: the total (foreign and domestic) number of tourists, the number of domestic tourists, the number of nights spent in hotel accommodation by tourists, and the number of nights spent in hotel accommodation by domestic tourists. The results show that the series can be well described in terms of seasonally fractionally integrated models, with the orders of integration ranging between 0.4 and 0.6 in the case of white noise disturbances, and values slightly smaller with autocorrelated disturbances. Thus the standard practice of taking seasonal dummies (deterministic seasonality) or integer differentiation (seasonal unit roots) may lead to erroneous conclusions about the stochastic behaviour of the series. Moreover, the series seem to be mean reverting, implying that shocks affecting them disappear in the long run though at a very slow hyperbolic rate.

scholarly journals Linkages between External Reserves and Economic Performance in Nigeria, 1981-2018: Bounds Test and ARDL Approaches

2020 ◽  
pp. 44-62
Author(s):  
Ifeanyi A. Ojiako
Keyword(s):  
Time Series ◽  
Error Correction ◽  
Foreign Exchange ◽  
Economic Performance ◽  
Unit Roots ◽  
Series Data ◽  
Foreign Reserves ◽  
Test Technique ◽  
Long Run ◽  
Bounds Test

Aims: This study seeks to explore a two-way relationship between Nigeria’s economic performance, measured by the GDP, and her stock of foreign reserves over time. Study Design: It uses secondary data - documented time series of Nigeria’s gross domestic product (GDP) and foreign exchange reserves (FER) – collected from various volumes of the Central Bank of Nigeria (CBN) Statistical Bulletin. The annual time series data cover a period of 38 years, from 1981-2018. Methodology: The time series properties of the variables were verified using the Augmented Dickey-Fuller (ADF) unit roots’ test procedure. Also, the Bounds test technique was used to test for cointegration while the autoregressive distributed-lag (ARDL) and error correction models were estimated to analyze short- and long-run relationships between the variables. Relevant diagnostic tests were carried out to validate the resultant model estimates. Results: Results of unit roots’ test reveal both GDP and foreign reserves as I(1) series. Bounds test for the GDP model revealed an observed F-statistic (.421) that is less than the critical lower bound F-statistic (4.94) at P=.05 and cointegrating relationship was not confirmed. However, Bounds test for the foreign reserves revealed an observed F-statistic (6.445) lager than the critical upper bound F-statistic (5.73) at P=.05 and cointegration was established leading to specification of a long-run error correction model (ECM). Result of ARDL model estimation shows that only one-year-lag of GDP was significant (P=.05) and positive in explaining variations in the current GDP. Previous year’s values of both GDP and foreign reserves have positive influence on the long-run foreign exchange with over 81.8% explanatory power. The adjustment coefficient of the error correction equation is highly significant (P=.001) with the desired negative sign, implying that previous periods’ errors are correctable by adjustments in the subsequent periods, and convergence is attainable. Granger-Causality test result revealed a unidirectional causality that runs from GDP to the external reserves. Conclusion: The study establishes a long-run relationship between stock of foreign reserves and economic performance in Nigeria. The finding corroborates the view that a booming economy has the propensity to attract foreign direct investment thereby boosting the stock of the country’s foreign reserves. To attract more FDI in the critical sectors of the Nigerian economy, the government should create enabling and investment-friendly environment, implement policies and programmes capable of amplify ease-of-doing-business, and boost investors’ confidence in the economy.

scholarly journals Modeling seasonality: An extension of the HEGY approach in the presence of two structural breaks

2008 ◽  
Vol 55 (4) ◽  
pp. 465-484 ◽  
Author(s):  
Ozlem Tasseven
Keyword(s):  
Structural Breaks ◽  
Structural Changes ◽  
Unit Roots ◽  
Testing Procedure ◽  
Small Sample ◽  
Seasonal Unit Roots ◽  
Monte Carlo Experiments ◽  
Turkish Economy ◽  
Annual Frequency ◽  
Break Points

In this paper the HEGY testing procedure (Hylleberg et al. 1990) of analyzing seasonal unit roots is tried to be re-examined by allowing for seasonal mean shifts with exogenous break points. Using some Monte Carlo experiments the distribution of the HEGY and the extended HEGY tests for seasonal unit roots subject to mean shifts and the small sample behavior of the test statistics have been investigated. Based on an empirical analysis upon the conventional money demand relationships in the Turkish economy, our results indicate that seasonal unit roots appear for the GDP deflator, real M2 and the expected inflation variables while seasonal unit roots at annual frequency seem to be disappear for the real M1 balances when the possible structural changes in one or more seasons at 1994 and 2001 crisis years have been taken into account. .

scholarly journals Government revenue and expenditure nexus in South Africa

2013 ◽  
Vol 10 (2) ◽  
pp. 256-269 ◽  
Author(s):  
Esman Nyamongo ◽  
Niek Schoeman ◽  
Moses Sichei
Keyword(s):  
South Africa ◽  
Granger Causality ◽  
Government Expenditure ◽  
Unit Roots ◽  
Government Revenue ◽  
Test Results ◽  
Vector Autoregressive ◽  
Seasonal Unit Roots ◽  
Long Run ◽  
Short Run

This paper investigates the nexus between government expenditure and government revenue in South Africa within the framework of a vector autoregressive (VAR) approach. It uses the Hylleberg et al. (1990) method to test for seasonal unit roots and finds that government revenue and government expenditure have unit roots at all frequencies. The Johansen procedure test results reveal that these variables are cointegrated. It is further established that revenue and expenditure are linked bidirectionally by Granger causality in the long-run, while there is no evidence of Granger causalityin the short-run in South Africa.

APPROXIMATION TO THE LIMITING DISTRIBUTION OF t- AND F-STATISTICS IN TESTING FOR SEASONAL UNIT ROOTS

2001 ◽  
Vol 17 (4) ◽  
pp. 711-737 ◽  
Author(s):  
Seiji Nabeya
Keyword(s):  
Time Series ◽  
Time Series Analysis ◽  
Unit Roots ◽  
Limiting Distribution ◽  
Limiting Distributions ◽  
Discussion Paper ◽  
Seasonal Unit Roots ◽  
Series Analysis ◽  
The Moment ◽  
F Statistics

Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238), Beaulieu and Miron (1993, Journal of Econometrics 55, 305–328), Ghysels, Lee, and Noh (1994, Journal of Econometrics 62, 415–442), Smith and Taylor (1998, Journal of Econometrics 85, 269–288; 1999, Journal of Time Series Analysis 20, 453–476; 1999, Discussion paper 99-15 in economics, University of Birmingham), and Taylor (1998, Journal of Time Series Analysis 19, 349–368) have developed a method of testing for seasonal unit roots of zero and nonzero frequencies. They propose to use t- and F-statistics as criteria that are obtained from an auxiliary regression and find their limiting distributions as the number of observations becomes large. Their limiting distributions are expressed by means of Brownian motions. In this paper the moment generating functions associated with the limiting distributions are derived, and it is shown, as in Nabeya (2000, Econometric Theory 16, 200–230), that the limiting distribution of t is well approximated by a distribution given in Gram–Charlier series. The limiting distribution of F is also well approximated by another type of distribution.

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