Time trend estimation with breaks in temperature time series

Luis Gil-Alana

No 09/08, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

Abstract: This paper deals with the modelling of the global and northern and southern hemispheric anomaly temperature time series using a novel technique based on segmented trends and fractional integration. We use a procedure that permits us to estimate linear time trends and orders of integration at various subsamples, where the periods for the changing trends are endogenously determined by the model. Moreover, we use a non-parametric approach (Bloomfield, 1973) for modelling the I(0) deviation term. The results show that the three series (global, northern and southern temperatures) can be well described in terms of fractional integration with the orders of integration around 0.5 in the three cases. The coefficients associated to the time trends are statistically significant in all subsamples for the three series, especially during the final part of the sample, giving then some support to the global warming theories.

Pages: 27 pages
Date: 2008-11-20
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (12)

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