Multivariate trend comparisons between autocorrelated climate series with general trend regressors

Ross McKitrick and Timothy Vogelsang

No 1109, Working Papers from University of Guelph, Department of Economics and Finance

Abstract: Inference regarding trends in climatic data series, including comparisons across different data sets as well as univariate trend significance tests, is complicated by the presence of serial correlation and step-changes in the mean. We review recent developments in the estimation of heteroskedasticity and autocorrelation robust (HAC) covariance estimators as they have been applied to linear trend inference, with focus on the Vogelsang-Franses (2005) nonparametric approach, which provides a unified framework for trend covariance estimation robust to unknown forms of autocorrelation up to but not including unit roots, making it especially useful for climatic data applications. We extend the Vogelsang-Franses approach to allow general deterministic regressors including the case where a step-change in the mean occurs at a known date. Additional regressors change the critical values of the Vogelsang-Franses statistic. We derive an asymptotic approximation that can be used to simulate critical values. We also outline a simple bootstrap procedure that generates valid critical values and p-values. The motivation for extending the Vogelsang-Franses approach is an application that compares climate model generated and observational global temperature data in the tropical lower- and mid-troposphere from 1958 to 2010. Inclusion of a mean shift regressor to capture the Pacific Climate Shift of 1977 causes apparently significant observed trends to become statistically insignificant, and rejection of the equivalence between model generated and observed data trends occurs for much smaller significance levels (i.e. is more strongly rejected).

Keywords: Autocorrelation; trend estimation; HAC variance matrix; global warming; model comparisons (search for similar items in EconPapers)
JEL-codes: C14 C32 C52 Q54 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2011
New Economics Papers: this item is included in nep-cis, nep-ecm and nep-env
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