Multivariate trend comparisons between autocorrelated climate series with general trend regressors
Inference regarding trends in climatic data series, including comparisons across different data sets as well as univariate trend significance tests, is complicated by the presence of serial correlation and step-changes in the mean. We review recent developments in the estimation of heteroskedasticity and autocorrelation robust (HAC) covariance estimators as they have been applied to linear trend inference, with focus on the Vogelsang-Franses (2005) nonparametric approach, which provides a unified framework for trend covariance estimation robust to unknown forms of autocorrelation up to but not including unit roots, making it especially useful for climatic data applications. We extend the Vogelsang-Franses approach to allow general deterministic regressors including the case where a step-change in the mean occurs at a known date. Additional regressors change the critical values of the Vogelsang-Franses statistic. We derive an asymptotic approximation that can be used to simulate critical values. We also outline a simple bootstrap procedure that generates valid critical values and p-values. The motivation for extending the Vogelsang-Franses approach is an application that compares climate model generated and observational global temperature data in the tropical lower- and mid-troposphere from 1958 to 2010. Inclusion of a mean shift regressor to capture the Pacific Climate Shift of 1977 causes apparently significant observed trends to become statistically insignificant, and rejection of the equivalence between model generated and observed data trends occurs for much smaller significance levels (i.e. is more strongly rejected).
|Date of creation:||2011|
|Date of revision:|
|Contact details of provider:|| Postal: Guelph, Ontario, N1G 2W1|
Phone: (519) 824-4120 ext. 53898
Fax: (519) 763-8497
Web page: https://www.uoguelph.ca/economics/
More information through EDIRC
References listed on IDEAS
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.:
- Nicholas M. Kiefer & Timothy J. Vogelsang & Helle Bunzel, 2000.
"Simple Robust Testing of Regression Hypotheses,"
Econometric Society, vol. 68(3), pages 695-714, May.
- Vogelsang, Timothy J. & Franses, Philip Hans, 2005.
"Testing for common deterministic trend slopes,"
Journal of Econometrics,
Elsevier, vol. 126(1), pages 1-24, May.
- Vogelsang, T.J. & Franses, Ph.H.B.F., 2001. "Testing for common deterministic trend slopes," Econometric Institute Research Papers EI 2001-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Vogelsang, Timothy J. & Franses, Philip Hans, 2001. "Testing for Common Deterministic Trend Slopes," Working Papers 01-15, Cornell University, Center for Analytic Economics.
- Kiefer, Nicholas M., 2001.
"Heteroskedasticity-Autocorrelation Robust Standard Errors Using the Bartlett Kernel without Truncation,"
01-13, Cornell University, Center for Analytic Economics.
- Nicholas M. Kiefer & Timothy J. Vogelsang, 2002. "Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation," Econometrica, Econometric Society, vol. 70(5), pages 2093-2095, September.
- Kiefer, Nicholas M. & Vogelsang, Timothy J., 2005.
"A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests,"
05-08, Cornell University, Center for Analytic Economics.
- Kiefer, Nicholas M. & Vogelsang, Timothy J., 2005. "A New Asymptotic Theory For Heteroskedasticity-Autocorrelation Robust Tests," Econometric Theory, Cambridge University Press, vol. 21(06), pages 1130-1164, December.
- Gonçalves, Sílvia & Vogelsang, Timothy J., 2011. "Block Bootstrap Hac Robust Tests: The Sophistication Of The Naive Bootstrap," Econometric Theory, Cambridge University Press, vol. 27(04), pages 745-791, August.
- Fomby, Tom & Vogelsang, Tim, 2000. "The Application of Size Robust Trend Analysis to Global Warming Temperature Series," Working Papers 00-08, Cornell University, Center for Analytic Economics.
When requesting a correction, please mention this item's handle: RePEc:gue:guelph:2011-09.. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stephen Kosempel)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.