Department of Economics and Business Economics

Timo Teräsvirta

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

Research output: Working paper

Standard

Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis. / Holt, Matthew T.; Terasvirta, Timo.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

Research output: Working paper

Harvard

APA

Holt, M. T., & Terasvirta, T. (2017). Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis. Aarhus: Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2017-05

CBE

MLA

Holt, Matthew T. and Timo Terasvirta Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2017-05). 2017., 34 p.

Vancouver

Author

Holt, Matthew T. ; Terasvirta, Timo. / Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis. Aarhus : Institut for Økonomi, Aarhus Universitet, 2017. (CREATES Research Papers; No. 2017-05).

Bibtex

@techreport{ec58a48efa224769a87d9142ae0860d1,
title = "Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis",
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 Gonz\{'a}lez and Ter\{"a}svirta (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.",
keywords = "Co-breaking, Hemispheric temperatures, Vector nonlinear model, Testing linearity, Structural change",
author = "Holt, {Matthew T.} and Timo Terasvirta",
year = "2017",
month = "1",
day = "31",
language = "English",
publisher = "Institut for \{O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for \{O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis

AU - Holt,Matthew T.

AU - Terasvirta,Timo

PY - 2017/1/31

Y1 - 2017/1/31

N2 - 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.

AB - 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.

KW - Co-breaking, Hemispheric temperatures, Vector nonlinear model, Testing linearity, Structural change

M3 - Working paper

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

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -