Detecting Volcanic Eruptions in Temperature Reconstructions by Designed Break-Indicator Saturation

David Hendry, Lea Schneider and Jason E. Smerdon
Authors registered in the RePEc Author Service: Felix Pretis

No 780, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: Abstract: We present a methodology for detecting structural breaks at any point in time-series regression models using an indicator saturation approach. Building on recent developments in econometric model selection for more variables than observations, we saturate a regression model with a full set of designed break functions. By selecting over these break functions using an extended general-to-specific algorithm, we obtain unbiased estimates of the break date and magnitude. Monte Carlo simulations confirm the approximate properties of the approach. We assess the methodology by detecting volcanic eruptions in a time series of Northern Hemisphere mean temperature spanning roughly 1200 years, derived from a fully-coupled global climate model simulation. Our technique demonstrates that historic volcanic eruptions can be statistically detected without prior knowledge of their occurrence or magnitude- and hence may prove useful for estimating the past impact of volcanic events using proxy-reconstructions of hemispheric or global mean temperature, leading to an improved understanding of the effect of stratospheric aerosols on temperatures. The break detection procedure can be applied to evaluate policy impacts as well as act as a robust forecasting device.

Keywords: Indicator Saturation; Model Selection; Location Shifts; Climate; Temperature; Volcanic Eruptions (search for similar items in EconPapers)
JEL-codes: C22 C52 Q54 (search for similar items in EconPapers)
Date: 2016-02-12
New Economics Papers: this item is included in nep-ecm, nep-env and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

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Related works:
Journal Article: DETECTING VOLCANIC ERUPTIONS IN TEMPERATURE RECONSTRUCTIONS BY DESIGNED BREAK-INDICATOR SATURATION (2016)
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