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A Multicointegration Model of Global Climate Change

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Author Info
David I. Stern () (Department of Economics, Rensselaer Polytechnic Institute, Troy NY 12180-3590, USA)

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Abstract

The concept of multicointegration introduced by Granger and Lee (1989) has been little used in economics. This paper demonstrates how it can find a useful application in the econometric analysis of global climate change. Time series models of global climate change tend to estimate a low climate sensitivity (equilibrium effect on global temperature of doubling carbon dioxide concentrations) and a very fast adjustment rate to equilibrium. These results may be biased by omission of a key variable - heat stored in the ocean. A pilot study application illustrates the potential of the multicointegration approach and also demonstrates how partial observations on ocean heat content can be used to constrain the state variable using the Kalman filter. Parameter estimates are much closer to theoretically expected values than those from any existing type of time series model. The estimated climate sensitivity is 4.37K with a 95% confidence interval of 3.6K to 5.1K. However, estimated oceanic heat accumulation appears to correspond to only the heat changes in the upper 300m of the ocean. The pilot model can be elaborated in a number of directions including disaggregating forcings, spatial and vertical resolution, adding a model of the carbon cycle, and testing more complex dynamic specifications.

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Paper provided by Rensselaer Polytechnic Institute, Department of Economics in its series Rensselaer Working Papers in Economics with number 0406.

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Date of creation: Mar 2004
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Handle: RePEc:rpi:rpiwpe:0406

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Find related papers by JEL classification:
Q53 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Air Pollution; Water Pollution; Noise; Hazardous Waste; Solid Waste; Recycling
Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Engsted, Tom & Haldrup, Niels, 1999. " Multicointegration in Stock-Flow Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(2), pages 237-54, May. [Downloadable!] (restricted)
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  2. Peter Young, Stuart Parkinson, Matthew Lees, 1996. "Simplicity out of complexity in environmental modelling: Occam's razor revisited," Journal of Applied Statistics, Taylor and Francis Journals, vol. 23(2-3), pages 165-210, June. [Downloadable!] (restricted)
  3. Johansen, S., 1991. "A Statistical Analsysis of Cointegration for I(2) Variables," Papers 77, Helsinki - Department of Economics.
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  4. Stern, David I., 1993. "Energy and economic growth in the USA : A multivariate approach," Energy Economics, Elsevier, vol. 15(2), pages 137-150, April. [Downloadable!] (restricted)
  5. Granger, C W J & Lee, T H, 1989. "Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages S145-59, Supplemen. [Downloadable!] (restricted)
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  1. Robert K. Kaufmann & David I. Stern, 2004. "A Statistical Evaluation of Atmosphere-Ocean General Circulation Models: Complexity vs. Simplicity," Rensselaer Working Papers in Economics 0411, Rensselaer Polytechnic Institute, Department of Economics. [Downloadable!]
  2. David I. Stern, 2005. "A Three-Layer Atmosphere-Ocean Time Series Model of Global Climate Change," Rensselaer Working Papers in Economics 0510, Rensselaer Polytechnic Institute, Department of Economics. [Downloadable!]
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