Abstract
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.