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Time trend estimation with breaks in temperature time series

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Author Info

  • Luis A. Gil-Alana

    (Facultad de Ciencias Económicas y Empresariales, Universidad de Navarra)

Abstract

This paper deals with the modelling of the global and northern and southern hemispheric anomaly temperature time series using a novel technique based on segmented trends and fractional integration. We use a procedure that permits us to estimate linear time trends and orders of integration at various subsamples, where the periods for the changing trends are endogenously determined by the model. Moreover, we use a non-parametric approach (Bloomfield, 1973) for modelling the I(0) deviation term. The results show that the three series (global, northern and southern temperatures) can be well described in terms of fractional integration with the orders of integration around 0.5 in the three cases. The coefficients associated to the time trends are statistically significant in all subsamples for the three series, especially during the final part of the sample, giving then some support to the global warming theories.

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File URL: http://www.unav.es/facultad/econom/files/workingpapersmodule/@random482ac104b1c71/1227197183_WP_09_08_Alana.pdf
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Bibliographic Info

Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 09/08.

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Length: 27 pages
Date of creation: 20 Nov 2008
Date of revision:
Handle: RePEc:una:unccee:wp0908

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Web page: http://www.unav.es/facultad/econom

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Cited by:
  1. Pierre Perron & Francisco Estrada, 2012. "Breaks, trends and the attribution of climate change: a time-series analysis," Boston University - Department of Economics - Working Papers Series WP2012-013, Boston University - Department of Economics.

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