Seasonal Fractional Integration in the Spanish Tourism Quarterly Time Series

Abstract

Seasonal fractional models are shown in this article to be alternative credible ways of modeling the seasonal component in the Spanish tourism time series. The authors use a testing procedure, due to Robinson, that permits them to consider unit and fractional orders of integration in raw time series. This method is applied to the number of foreigners and the number of foreign guest nights in Spain, the results showing that the orders of integration in both series are higher than 0 but smaller than 1, implying seasonal long memory behavior.