International Tourists Arrival to Thailand: Forecasting by Non-linear Model

The aim of this study is to provide non-linear forecasting models for prediction of the international tourist arrival to Thailand by using data from period 1998-2014(Feb.). The seasonal unit root test (HEGY-test extent version) was carried out to test this data. Based on this testing is found that the number of international tourist arrivals to Thailand was affected by seasonal unit root process for during period of this study. Therefore, both the MS-VAR model and AR model are employed to predict this data for future of Thailand. The empirical results from this research was concluded that in high seasonal period can be use AR (2)-MLE, AR (2)-MLE-bootstrapping, and AR(1)-ME-bootstrapping to predict the number of international tourist arrivals to Thailand for future years. However, in low seasonal period only AR(1)-ME-bootstrapping can be used to predict the number of international tourist arrival to Thailand for future years.