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Vector Autoregressive Models with Multivariate Time Series: Spillovers of International Tourist Arrivals on a Local Economy

  • Jung Wan Lee
  • Michael Kwag
Chapter
Part of the Perspectives on Asian Tourism book series (PAT)

Abstract

The chapter demonstrates an application of vector autoregressive models with time series in tourism research. The chapter describes how to apply vector autoregression with time series in a multivariate setting to estimate the short-run and long-run effects of international tourist arrivals on a local economy and associated economic spillovers in the local economy in Asia. The study employs unit root tests (i.e., the augmented Dickey and Fuller test, the Phillips and Perron test, the Ng and Perron test, and the Kwiatkowski et al. test), cointegration test (i.e., the Johansen cointegration test), and vector autoregressive models with multivariate time series (i.e., vector autoregression analysis, model diagnostic tests, residual diagnostic tests, and impulse response tests) using quarterly time series data, which are available from the first quarter of 1970 to the third quarter of 2012 (172 observations) retrieved from the Bank of Korea.

Keywords

Vector autoregressive model Time series Unit root test Cointegration test Impulse response function International tourist arrivals Tourism Economic spillover Tourism research Korea 

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Copyright information

© Springer Nature Singapore Pte Ltd. 2019

Authors and Affiliations

  1. 1.Administrative Sciences Department, Metropolitan CollegeBoston UniversityBostonUSA
  2. 2.School of Hospitality AdministrationBoston UniversityBostonUSA

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