回顧歷年來之來台旅客，雖皆以亞洲旅客居多，但有鑒於美、加及歐洲地區亦是來台旅遊之新興市場，同時也為我國在觀光客倍增計畫中努力拓展來台旅遊之目標市場，故本篇研究將以美國、加拿大和歐洲為研究對象，採用交通部觀光局所公佈的1971 年1月至2008 年12 月之旅客入境人數年、季和月資料，分別對此三個地區建立簡單線性迴歸模型（linear trend）、Holt-Winters 趨勢的季節性加法預測模型、自我迴歸自我迴歸移動平均模型（autoregressive
autoregressive moving average）、季節性與非季節性自我迴歸整合移動平均模型（seasonal-nonseasonal autoregressive integrated moving average）和部分整合自我迴歸移動平均模型（fractionally integrated autoregressive moving average）等五種模型，進行樣本內的預測，並使用平均絕對百分比誤差和均方根誤差統計量檢驗不同預測模型之預測能力。SARS（嚴重急性呼吸系統綜合症）爆發於 2003 年3月初，如果因為這一事件產生一個結構突破，在假設整個期間是一個常數參數結構下得到的預測結果將受到懷疑。因此本文最後將作一項帶有結構破壞的單根檢驗之時間序列分析。

This paper examines five time-series forecasting models and fits them to the datasets of yearly, quarterly and monthly visitor arrivals in Taiwan from the United States, Canada and Europe. We then use the resulting estimated models to make ‘out-of-sample’ forecasts over the next 2 years (8 quarters and 24 months). We find that forecasts generated using the autoregressive integrated moving average and fractionally integrated
autoregressive moving average models provide more accurate forecasts
than those from other models when judged on the basis of mean absolute
percentage errors and root mean square errors criteria. If there has been a structure break because of SARS outbreak in early march 2003, the result
obtained by assuming a constant parameter structure during the entire
period will be suspect. An analysis of the time series, including unit root tests with structural break is carried out as well