Department of Economics and Business Economics

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

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  • Matthew T. Holt
    Matthew T. HoltUniversity of AlabamaUnited States
  • Timo Terasvirta
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.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages34
StatePublished - 31 Jan 2017
SeriesCREATES Research Papers
Number2017-05

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