Resumen de Modelling mothly Spanish tourism: a seasonal fractionally integrated approach
J Cunado, Luis Alberiko Gil Alaña, F. Pérez de Gracia
The authors examine the monthly structure of Spanish tourism using fractionally integrated techniques. They propose the use of a procedure attributable to Robinson (1994) that permits the simultaneous testing of degrees of integration at both zero and seasonal frequencies. The tests have standard null and local limit distributions. However, finite-sample critical values are computed and the power properties of the tests in finite samples are also examined. The results, based on the numbers of foreigners and foreign guest nights in Spain, show that both frequencies are important, the order of integration at the long-run or zero frequency being much higher than that corresponding to the seasonal monthly structure.
