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

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Global hemispheric temperatures and co-shifting : A vector shifting-mean autoregressive analysis. / Holt, Matthew T.; Terasvirta, Timo.

In: Journal of Econometrics, Vol. 214, No. 1, 01.2020, p. 198-215.

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Holt, Matthew T. ; Terasvirta, Timo. / Global hemispheric temperatures and co-shifting : A vector shifting-mean autoregressive analysis. In: Journal of Econometrics. 2020 ; Vol. 214, No. 1. pp. 198-215.

Bibtex

@article{10b02754787e49a8af775e8bcacea1c8,
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 (1850–2017) by using a multivariate generalization of the shifting-meanautoregressive 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.",
keywords = "Co-breaking, Hemispheric temperatures, Structural change, Testing linearity, Vector nonlinear model",
author = "Holt, {Matthew T.} and Timo Terasvirta",
year = "2020",
month = jan,
doi = "10.1016/j.jeconom.2019.05.011",
language = "English",
volume = "214",
pages = "198--215",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier BV",
number = "1",

}

RIS

TY - JOUR

T1 - Global hemispheric temperatures and co-shifting

T2 - A vector shifting-mean autoregressive analysis

AU - Holt, Matthew T.

AU - Terasvirta, Timo

PY - 2020/1

Y1 - 2020/1

N2 - 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.

AB - 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.

KW - Co-breaking

KW - Hemispheric temperatures

KW - Structural change

KW - Testing linearity

KW - Vector nonlinear model

U2 - 10.1016/j.jeconom.2019.05.011

DO - 10.1016/j.jeconom.2019.05.011

M3 - Journal article

VL - 214

SP - 198

EP - 215

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -