Department of Economics and Business Economics

Timo Teräsvirta

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

Research output: Working paperResearch


  • Rp12 54

    Submitted manuscript, 401 KB, PDF-document

This paper examines trends in annual temperature data for the northern and southern hemisphere (1850-2010) by using variants of the shifting-mean autoregressive (SM-AR) model of Gonzalez and Terasvirta (2008). Univariate models are first fitted to each series by using the so called QuickShift methodology. Full information maximum likelihood (FIML) estimates of a bivariate system of temperature equations are then obtained. The system is then used to perform formal tests of co-system in the hemispheric series. The results show there is evidence of co-shifting in the temperature data, most notably since the early 1980s.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages31
Publication statusPublished - 29 Nov 2012
SeriesCREATES Research Papers

    Research areas

  • Co{breaking; Co{shifting; Hemispheric surface temperatures; Vector nonlinear model; Structural change; Shifting-mean vector autoregression

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