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Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis

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Author Info

  • Matthew T. Holt

    ()
    (University of Alabama, Department of Economics, Finance & Legal Studies)

  • Timo Teräsvirta

    ()
    (Aarhus University, Department of Economics and Management and CREATES)

Abstract

This paper examines trends in annual temperature data for the northern and southern hemisphere (1850-2010) by using variants of the shifting-mean autoregressive (SM-AR) model of González and Teräsvirta (2008). Univariate models are first fitted to each series by using the so called QuickShift methodology. Full information maximum likelihood (FIML) estimates of a bivariate system of temperature equations are then obtained. The system is then used to perform formal tests of co-system in the hemispheric series. The results show there is evidence of co-shifting in the temperature data, most notably since the early 1980s.

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Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2012-54.

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Length: 31
Date of creation: 21 Nov 2012
Date of revision:
Handle: RePEc:aah:create:2012-54

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Web page: http://www.econ.au.dk/afn/

Related research

Keywords: Co-breaking; Co-shifting; Hemispheric surface temperatures; Vector nonlinear model; Structural change; Shifting-mean vector autoregression;

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References

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  1. Trevor Breusch & Farshid Vahid, 2008. "Global Temperature Trends," ANU Working Papers in Economics and Econometrics, Australian National University, College of Business and Economics, School of Economics 2008-495, Australian National University, College of Business and Economics, School of Economics.
  2. Camarero, Mariam & Ordonez, Javier, 2006. "Is there a nonlinear co-movement in the EU countries' unemployment?," Economics Letters, Elsevier, Elsevier, vol. 93(2), pages 157-162, November.
  3. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers, Princeton, Department of Economics - Econometric Research Program 338, Princeton, Department of Economics - Econometric Research Program.
  4. Timo Terasvirta & Andrés González, 2006. "Modelling autoregressive processes with a shifting mean," BORRADORES DE ECONOMIA, BANCO DE LA REPÚBLICA 003230, BANCO DE LA REPÚBLICA.
  5. Dick van Dijk 1 & Birgit Strikholm & Timo Ter�svirta, 2003. "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 6(1), pages 79-98, 06.
  6. Liu, Hui & Rodríguez, Gabriel, 2005. "Human activities and global warming: a cointegration analysis," MPRA Paper 9939, University Library of Munich, Germany.
  7. Barry K. Goodwin & Matthew T. Holt & Jeffrey P. Prestemon, 2011. "North American Oriented Strand Board Markets, Arbitrage Activity, and Market Price Dynamics: A Smooth Transition Approach," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, Agricultural and Applied Economics Association, vol. 93(4), pages 993-1014.
  8. Andrés González & Kirstin Hubrich & Timo Teräsvirta, 2009. "Forecasting inflation with gradual regime shifts and exogenous information," CREATES Research Papers, School of Economics and Management, University of Aarhus 2009-03, School of Economics and Management, University of Aarhus.
  9. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 11(4), pages 369-80, October.
  10. Gallant, A. Ronald, 1981. "On the bias in flexible functional forms and an essentially unbiased form : The fourier flexible form," Journal of Econometrics, Elsevier, Elsevier, vol. 15(2), pages 211-245, February.
  11. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 979, Cowles Foundation for Research in Economics, Yale University.
  12. Franchi, Massimo & Ordóñez, Javier, 2008. "Common smooth transition trend-stationarity in European unemployment," Economics Letters, Elsevier, Elsevier, vol. 101(2), pages 106-109, November.
  13. Anderson, Heather M. & Vahid, Farshid, 1998. "Testing multiple equation systems for common nonlinear components," Journal of Econometrics, Elsevier, Elsevier, vol. 84(1), pages 1-36, May.
  14. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 11(4), pages 393-95, October.
  15. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, Elsevier, vol. 62(2), pages 211-228, June.
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