J. Cunado, Luis Alberiko Gil Alaña, F. Pérez de Gracia
This paper proposes a new modelling approach for the total number of international monthly arrivals in the USA using fractional integration with a structural break that is endogenously determined by the model. As expected, the results show that the break date occurs at September 2001. Disaggregating the data according to the location of origin for the arrivals, the break at September 2001 is also found in most cases, the only exceptions being Canada (February 1998) and the Middle East (September 2000). More importantly, the fact that the orders of integration of all series are strictly smaller than one implies that the series are mean reverting. Thus, the negative shock produced by the 9/11 terrorist attacks should be transitory and no strong policies should be implemented to recover the number of arrivals in the USA.
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