Estimation of the degree of dependence in the temperatures in the northern hemisphere using semi-parametric techniques

Luis Gil-Alana

Journal of Applied Statistics, 2003, vol. 30, issue 9, 1021-1031

Abstract: We are concerned in this article with the estimation of the degree of dependence between the observations of the monthly temperatures in the northern hemisphere from 1854 to 1989 by means of using fractionally integrated semi-parametric techniques. We use several estimation procedures proposed by P. M. Robinson in a number of papers, and the results indicate that the order of integration of the series is around 0.37, implying that the time series is stationary but with long memory behaviour. Separating the data in two subsamples (1854-1921 and 1922-89), the results show that there has been an increase in the degree of dependence across time by about 0.05-0.10, the order of integration oscillating around 0.3 (0.35) for the time period 1854-1921, and around 0.35 (0.40) for the period 1922-89.

Date: 2003
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DOI: 10.1080/0266476032000076146

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