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Time trend estimation with breaks in temperature time series

  • Luis A. Gil-Alana

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

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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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
Contact details of provider: Web page: http://www.unav.es/facultad/econom

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