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

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


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.


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


  1. AirPlus Community. (2010). Travel management pros see real value in social media tools. Available from: Accessed 18 Jan 2015.
  2. Balaguer, J., & Cantavella-Jordá, M. (2002). Tourism as a long-run economic growth factor: The Spanish case. Applied Economics, 34(7), 877–884.CrossRefGoogle Scholar
  3. Bhargava, A. (1986). On the theory of testing for unit roots in observed time series. Review of Economic Studies, 53, 369–384.CrossRefGoogle Scholar
  4. Cárdenas-García, P. J., Sánchez-Rivero, M., & Pulido-Fernández, J. I. (2015). Does tourism growth influence economic development? Journal of Travel Research, 54(2), 206–221.CrossRefGoogle Scholar
  5. Castro-Nuño, M., Molina-Toucedo, J. A., & Pablo-Romero, M. P. (2013). Tourism and GDP: A meta-analysis of panel data studies. Journal of Travel Research, 52(6), 745–758.CrossRefGoogle Scholar
  6. Chen, C. F., & Chiou-Wei, S. Z. (2009). Tourism expansion, tourism uncertainty and economic growth: New evidence from Taiwan and Korea. Tourism Management, 30(6), 812–818.CrossRefGoogle Scholar
  7. Cheung, Y. W., & Lai, K. S. (1993). Finite-sample sizes of Johansen’s likelihood ratio tests for co-integration. Oxford Bulletin of Economics and Statistics, 55, 313–328.CrossRefGoogle Scholar
  8. Chien, C., Hong, C., & Li, J. (2014). Spillover effects of tourism policy changes on hospitality industries. Global Journal of Business Research, 8(2), 111–124.Google Scholar
  9. Chindris-Vasioiu, O., & Tocan, M. (2015). Sustainable development in tourism – Factor of economic growth. Knowledge Horizons-Economics, 7(2), 160–164.Google Scholar
  10. Choi, H. C., & Sirakaya, E. (2006). Sustainability indicators for managing community tourism. Tourism Management, 27(6), 1274–1289.CrossRefGoogle Scholar
  11. Croes, R., & Vanegas, M., Sr. (2008). Cointegration and causality between tourism and poverty reduction. Journal of Travel Research, 47(1), 94–103.CrossRefGoogle Scholar
  12. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427–431.CrossRefGoogle Scholar
  13. Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057–1071.CrossRefGoogle Scholar
  14. Dolnicar, S., Coltman, T., & Sharma, R. (2015). Do satisfied tourists really intend to come back? Three concerns with empirical studies of the link between satisfaction and behavioral intention. Journal of Travel Research, 54(2), 152–178.CrossRefGoogle Scholar
  15. Dritsakis, N. (2004). Tourism as a long-run economic growth factor: An empirical investigation for Greece using causality analysis. Tourism Economics, 10(3), 305–316.CrossRefGoogle Scholar
  16. Du, D., Lew, A. A., & Ng, P. T. (2016). Tourism and economic growth. Journal of Travel Research, 55(4), 454–464.CrossRefGoogle Scholar
  17. Dwyer, L., & Forsyth, P. (2008). Economic measures of tourism yield: What markets to target? International Journal of Tourism Research, 10(2), 155–168.CrossRefGoogle Scholar
  18. Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64, 813–836.CrossRefGoogle Scholar
  19. Enders, W. (1995). Applied econometric time series. New York: Wiley.Google Scholar
  20. Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276.CrossRefGoogle Scholar
  21. Fayissa, B., Nsiah, C., & Tadasse, B. (2008). Impact of tourism on economic growth and development in Africa. Tourism Economics, 14(4), 807–818.CrossRefGoogle Scholar
  22. Felsenstein, D., & Fleischer, A. (2003). Local festivals and tourism promotion: The role of public assistance and visitor expenditure. Journal of Travel Research, 41(4), 385–392.CrossRefGoogle Scholar
  23. Granger, C. W. J. (1988). Some recent developments in a concept of causality. Journal of Econometrics, 39, 199–211.CrossRefGoogle Scholar
  24. Gunduz, L., & Hatemi-J, A. (2005). Is the tourism-led growth hypothesis valid for Turkey? Applied Economics Letters, 12(8), 499–504.CrossRefGoogle Scholar
  25. Humphreys, B. R., & Marchand, J. (2013). New casinos and local labor markets: Evidence from Canada. Labour Economics, 24, 151–160.CrossRefGoogle Scholar
  26. Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2–3), 231–254.CrossRefGoogle Scholar
  27. Johansen, S. (1991). Estimation and hypothesis testing of co-integration vectors in Gaussian vector autoregressive models. Econometrica, 59, 1551–1580.CrossRefGoogle Scholar
  28. Johansen, S. (1995). Likelihood-based inference in cointegrated vector autoregressive models. Oxford: Oxford University Press.CrossRefGoogle Scholar
  29. Korea Culture and Tourism Institute. (2014). Tourism statistics. Available from: Accessed 18 Jan 2015.
  30. Korea Tourism Organization. (2014). Tourism statistics. Available from: Accessed 18 Jan 2015.
  31. Kwiatkowski, D., Phillips, P., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationary against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54(1–3), 159–178.CrossRefGoogle Scholar
  32. Lee, C. G. (2008). Tourism and economic growth: The case of Singapore. Regional and Sectoral Economic Studies. Euro-American Association of Economic Development, 8(1), 89–98.Google Scholar
  33. Lee, C. C., & Chang, C. P. (2008). Tourism development and economic growth: A closer look at panels. Tourism Management, 29(1), 180–192.CrossRefGoogle Scholar
  34. Lim, C., & McAleer, M. (2005). Analyzing the behavioral trends in tourist arrivals from Japan to Australia. Journal of Travel Research, 43(4), 414–421.CrossRefGoogle Scholar
  35. Ma, T., Hong, T., & Zhang, H. (2015). Tourism spatial spillover effects and urban economic growth. Journal of Business Research, 68(1), 74–80.CrossRefGoogle Scholar
  36. Massidda, C., & Mattana, P. (2013). A SVECM analysis of the relationship between international tourism arrivals, GDP and trade in Italy. Journal of Travel Research, 52(1), 93–105.CrossRefGoogle Scholar
  37. Mihalic, T. (2002). Tourism and economic development issues. In Tourism and development: Concepts and issues (pp. 81–111). Clevedon: Channel View Publications.Google Scholar
  38. Ng, S., & Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519–1554.CrossRefGoogle Scholar
  39. Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrica, 75(2), 335–346.CrossRefGoogle Scholar
  40. Pratt, S. (2015). The economic impact of tourism in SIDS. Annals of Tourism Research, 52, 148–160.CrossRefGoogle Scholar
  41. Sahli, M., & Nowak, J.-J. (2007). Does inbound tourism benefit developing countries? A trade theoretic approach. Journal of Travel Research, 45(4), 426–434.CrossRefGoogle Scholar
  42. Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive moving average models of unknown order. Biometrika, 71, 599–607.CrossRefGoogle Scholar
  43. Sánchez-Carrera, E. J., Brida, J. G., & Risso, W. A. (2008). Tourism impact on long-run Mexican economic growth. Economic Bulletin, 23(21), 1–8.Google Scholar
  44. Schubert, S. F., Brida, J. G., & Risso, W. A. (2011). The impacts of international tourism demand on economic growth of small economies dependent on tourism. Tourism Management, 32, 377–385.CrossRefGoogle Scholar
  45. Snieska, V., Barkauskiene, K., & Barkauskas, V. (2014). The impact of economic factors on the development of rural tourism: Lithuanian case. Procedia-Social and Behavioral Sciences, 156, 280–285.CrossRefGoogle Scholar
  46. Vanegas, M. (2014). The triangles of poverty, economic growth, and inequality in Central America: Does tourism matter? Worldwide Hospitality and Tourism Themes, 6(3), 277–292.CrossRefGoogle Scholar
  47. Wong, I. A., & Wan, Y. K. P. (2013). A systematic approach to scale development in tourist shopping satisfaction: Linking destination attributes and shopping experience. Journal of Travel Research, 52(1), 29–41.CrossRefGoogle Scholar
  48. World Travel and Tourism Council. (2011). Travel and tourism economic impact 2011. London: World Travel and Tourism Council.Google Scholar
  49. Xiang, Z., Wang, D., O’Leary, J. T., & Fesenmaier, D. R. (2015). Adapting to the internet: Trends in travelers’ use of the web for trip planning. Journal of Travel Research, 54(4), 511–527.CrossRefGoogle Scholar
  50. Yang, Y., & Wong, K. K. F. (2012). A spatial econometric approach to model spillover effects in tourism flows. Journal of Travel Research, 51(6), 768–778.CrossRefGoogle Scholar
  51. Yuan, J. J., & Jang, S. S. (2008). The effects of quality and satisfaction on awareness and behavioral intentions: Exploring the role of a wine festival. Journal of Travel Research, 46(3), 279–288.CrossRefGoogle Scholar
  52. Zickuhr, K. (2010). Generations 2010. Available from: Accessed 18 Jan 2015.

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

Personalised recommendations