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Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis

Matthew T. Holt () and Timo Teräsvirta ()
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Matthew T. Holt: University of Alabama, Department of Economics, Finance & Legal Studies, Postal: Box 870224, 248 Alston Hall, Tuscaloosa, AL 35487-0224, USA

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper examines local changes in annual temperature data for the northern and southern hemispheres (1850-2014) by using a multivariate generalisation of the shifting-mean autoregressive 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. Forecasting this pair of series is considered as well.

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)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
Date: 2017-01-24
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