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

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  • Matthew T. Holt, Virginia Tech, Blacksburg, Virginia , United States
  • Timo Terasvirta

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.

Original languageEnglish
JournalJournal of Econometrics
Volume214
Issue1
Pages (from-to)198-215
Number of pages18
ISSN0304-4076
DOIs
Publication statusPublished - Jan 2020

    Research areas

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

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