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Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis

Author

Listed:
  • Matthew T. Holt

    (University of Alabama, Department of Economics, Finance & Legal Studies)

  • Timo Teräsvirta

    (Aarhus University and CREATES, C.A.S.E., Humboldt-Universität zu Berlin)

Abstract
This paper examines local changes in annual temperature data for the northern and southern hemispheres (1850-2014) by using a multivariate generalisation of the shifting-mean autoregressive model of González and Teräsvirta (2008). Univariate models are first fitted to each series by using the QuickShift methodology. Full information maximum likelihood estimates of a bivariate system of temperature equations are then obtained and asymptotic properties of the corresponding estimators considered. The system is then used to perform formal tests of co-movements, called co-shifting, in the series. The results show evidence of co-shifting in the two series. Forecasting this pair of series is considered as well.

Suggested Citation

  • Matthew T. Holt & Timo Teräsvirta, 2017. "Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis," CREATES Research Papers 2017-05, Department of Economics and Business Economics, Aarhus University.
    • Handle: RePEc:aah:create:2017-05
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. C. Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2024. "Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity," Papers 2406.14145, arXiv.org.
    2. He, Changli & Kang, Jian & Silvennoinen, Annastiina & Teräsvirta, Timo, 2024. "Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model," Journal of Econometrics, Elsevier, vol. 239(1).
    3. Friedrich, Marina & Lin, Yicong, 2024. "Sieve bootstrap inference for linear time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 239(1).
    4. González-Rivera, Gloria & Rodríguez Caballero, Carlos Vladimir, 2023. "Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula," DES - Working Papers. Statistics and Econometrics. WS 37968, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. Marc Gronwald, 2023. "Explosive Temperatures," CESifo Working Paper Series 10680, CESifo.

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    More about this item

    Keywords

    Co-breaking; Hemispheric temperatures; Vector nonlinear model; Testing linearity; Structural change;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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