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Warming break trends and fractional integration in the northern, southern and global temperature anomaly series

  • Luis A. Gil-Alana

    ()

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

This paper deals with the estimation of time trends in temperature anomaly series. However, instead of imposing that the estimated residuals from the time trends are I(0) stationary, we allow them to be fractionally integrated. In this context, a new procedure for testing fractional integration with segmented trends is applied to the northern, southern and global temperature anomaly series. The results show that the three series are fractinally integrated, and the warming effects are substantially higher after the break in all cases.

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File URL: http://www.unav.edu/documents/10174/6546776/1257096982_WP_UNAV_09_09.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 09/09.

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Length: 31 pages
Date of creation: 01 Nov 2009
Date of revision:
Handle: RePEc:una:unccee:wp0909
Contact details of provider: Web page: http://www.unav.edu/web/facultad-de-ciencias-economicas-y-empresariales

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  1. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc.
  2. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
  3. Wei Biao Wu & Zhibiao Zhao, 2007. "Inference of trends in time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 69(3), pages 391-410.
  4. Luis A. Gil-Alana, . "Fractional integration and structural breaks at unknown periods of time," Faculty Working Papers 16/06, School of Economics and Business Administration, University of Navarra.
  5. 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.
  6. Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July.
  7. Park, Rolla Edward & Mitchell, Bridger M., 1980. "Estimating the autocorrelated error model with trended data," Journal of Econometrics, Elsevier, vol. 13(2), pages 185-201, June.
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