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

Publikation: Working paperForskning

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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.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider34
StatusUdgivet - 31 jan. 2017
SerietitelCREATES Research Papers
Nummer2017-05

    Forskningsområder

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

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