Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis

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This paper examines local changes in annual temperature data for the northern and southern hemispheres (1850–2017) by using a multivariate generalization of the shifting-meanautoregressive 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.

OriginalsprogEngelsk
TidsskriftJournal of Econometrics
Vol/bind214
Nummer1
Sider (fra-til)198-215
Antal sider18
ISSN0304-4076
DOI
StatusUdgivet - jan. 2020

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