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Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model

Changli He (), Jian Kang (), Timo Teräsvirta and Shuhua Zhang ()
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Changli He: Tianjin University of Finance and Economics, Postal: 25 Zhuajiangdao, Hexi district, Tianjin, China
Jian Kang: Tianjin University of Finance and Economics, Postal: 25 Zhuajiangdao, Hexi district, Tianjin, China
Shuhua Zhang: Tianjin University of Finance and Economics, Postal: 25 Zhuajiangdao, Hexi district, Tianjin, China

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

Abstract: We consider a vector version of the Shifting Seasonal Mean Autoregressive model. The model is used for describing dynamic behaviour of and contemporaneous dependence between a number of long monthly temperature series for 20 cities in Europe, extending from the second half of the 18th century until mid-2010s. The results indicate strong warming in the winter months, February excluded, and cooling followed by warming during the summer months. Error variances are mostly constant over time, but for many series there is systematic decrease between 1820 and 1850 in April. Error correlations are considered by selecting two small sets of series and modelling correlations within these sets. Some correlations do change over time, but a large majority remains constant. Not surprisingly, the correlations generally decrease with the distance between cities, but geography also plays a role.

Keywords: Changing seasonality; nonlinear model; vector smooth transition; autoregression (search for similar items in EconPapers)
JEL-codes: C32 C52 Q54 (search for similar items in EconPapers)
Pages: 77
Date: 2019-11-01
New Economics Papers: this item is included in nep-ecm, nep-env, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Journal Article: Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model (2024) Downloads
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