International Arrivals in the Canary Islands: Persistence, Long Memory, Seasonality and other Implicit Dynamics

This study models international monthly arrivals in the Canary Islands using different time-series approaches that enable an examination of the degree of persistence of the series. The author focuses on long memory processes at the long-run or zero frequency, at the seasonal frequencies and at both simultaneously. A forecasting experiment is also conducted and the results indicate that the model with two differencing parameters seems to be the most adequate specification for this series, being non-stationary with respect to the two components and mean reverting with respect to the seasonal structure.