The time-varying parameter model

Gang Li, Jason Li Chen, Xiaoying Jiao

Research output: Chapter in book / Conference proceedingChapter in an edited book (as author)Academic research


This chapter introduces a general form of the time-varying parameter (TVP) model. Unlike most traditional econometric models, which are based on fixed-parameter estimation, the TVP model can capture the dynamics of parameters over the sample period based on the recursive Kalman filter (KF) algorithm. When applied to tourism demand analysis, this unique technical feature of the TVP model provides insights into the evolution of demand elasticities. Furthermore, the TVP model generally produces accurate and stable tourism demand forecasts across different forecasting horizons. Future research could explore further integration of the TVP technique with more advanced econometric models.
Original languageEnglish
Title of host publicationEconometric Modelling and Forecasting of Tourism Demand
Subtitle of host publicationMethods and Applications
EditorsDoris Chenguang Wu, Gang Li, Haiyan Song
Place of PublicationLondon
Number of pages19
ISBN (Electronic)978-1-003-26936-6
ISBN (Print)978-1-032-21642-3
Publication statusPublished - Oct 2022


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