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

Matthew Holt and Timo Teräsvirta

Journal of Econometrics, 2020, vol. 214, issue 1, 198-215

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 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.

Keywords: Co-breaking; Hemispheric temperatures; Vector nonlinear model; Testing linearity; Structural change (search for similar items in EconPapers)
JEL-codes: C22 C32 C52 C53 Q54 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (5)

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Working Paper: Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:214:y:2020:i:1:p:198-215

DOI: 10.1016/j.jeconom.2019.05.011

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