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Time trend estimation with breaks in temperature time series

Author

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  • 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.

Suggested Citation

  • Luis A. Gil-Alana, 2008. "Time trend estimation with breaks in temperature time series," Faculty Working Papers 09/08, School of Economics and Business Administration, University of Navarra.
  • Handle: RePEc:una:unccee:wp0908
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    File URL: http://www.unav.edu/documents/10174/6546776/1227197183_WP_09_08_Alana.pdf
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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.
    2. repec:bla:jtsera:v:38:y:2017:i:5:p:711-732 is not listed on IDEAS
    3. Pierre Perron & Eduardo Zorita & Francisco Estrada & Pierre Perron, 2017. "Extracting and Analyzing the Warming Trend in Global and Hemispheric Temperatures," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 711-732, September.

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