Forecasting US overseas travelling with univariate and multivariate models

Abstract

AbstractThis study makes use of specific econometric modelling methodologies to forecast US outbound travelling flows to certain destinations: Europe, Caribbean, Asia, Central America, South America, Middle East, Oceania and Africa, spanning the period 2000–2019 on a monthly basis. Both univariate (jointly with business conditions) and multivariate models are employed, whereas out‐of‐sample forecasts are generated, and the results are compared based on popular forecasting performance criteria. These criteria show that in the case of univariate models, the largest forecasting gains are obtained when the modelling process follows the kitchen sink autoregressive of order one (KS‐AR[1]) model with the business cycles being measured as the coincident indicator. In the case of multivariate models, the largest forecasting gains occur with the standard vector autoregressive (VAR) model for very short forecasting horizons and with the Bayesian VAR for longer horizons. The results are robust to both total and individual destinations. The findings allow interested stakeholders to gain insights into near‐future US outbound tourism to popular diversified international destinations, as well as to better understand its positive and negative impacts for strategic planning and destination adaptation purposes.