FORECAST OF INCOMES BY INTERNATIONAL VISITOR TO MEXICO: A HIERARCHICAL SERIES APPROACH
DOI:
https://doi.org/10.29201/peipn.v12i23.381Keywords:
forecast, hierarchical models, time series, income, visitorsAbstract
The aim of this paper is to identify the most efficient forecasting model of income from visitors to Mexico. The received theory of forecasting claims that hierarchical methods are systematically the best forecasting models of hierarchical time series, a claim that has not been evaluated in a large number of cases. Consequently, in this research several methods are evaluated, following the conventional approach of selecting two samples (i.e. training and test sets). Based on the mean absolute scaled error (MASE), our results indicate that, in the case of the variable of interest, the bottom-up ARIMA is the most efficient forecasting method.
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References
Banco de México (7 de marzo de 2016). Balanza de Pagos. Obtenido de CE36 - Cuenta de Viajeros Internacionales. Periodo: enero 198-diciembre 2015, mensual: http://www.banxico.org.mx/SieInternet/consultarDirectorioInternetAction.do?accion=consultarCuadro&idCuadro=CE36§or=1&locale=es.
Hyndman, R. J. (2014). Forecasting: Principles & Practice. NY. USA.: Prentice Hall.
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Montemayor, G., J. E. (2012). Métodos de Pronósticos para Negocios. Ciudad de México: Editorial Digital, Tecnológico de Monterrey.
Stock, J. H. (2006). Handbook of Economic Forecasting, vol. 1. Harvard: Graham Elliot, Clive W.J. Granger and Allan Timmermann, pp. 120-175.
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