Econometric analysis of tourism demand has increasingly received attention from both academics and practitioners, due to its significant benefit to marketing and investment decisions. A large body of studies has applied various econometric techniques to tourism demand modeling and forecasting, including pure time series analyses (see, for example, Gil-Alana, 2005; Goh & Law, 2002) and multivariate econometric models (see, for example, Wu, Li & Song, 2011; Song & Witt, 2006). Some studies further compared the forecasting accuracy of different tourism demand models (such as Athanosopoulos, et al., 2011; Song, et al., 2003). It is generally concluded that the accuracy of the forecasting models varies across the origin-destination pairs, forecasting horizons, data frequency and researchers’ knowledge about the forecasting models.