Estimation and Inference of Linear Trend Slope Ratios with an Application to Global Temperature Data

Timothy Vogelsang and Nasreen Nawaz

MPRA Paper from University Library of Munich, Germany

Abstract: We focus on estimation and inference of the ratio of trend slopes between two time series where the trending behavior of each series can be well approximated by a simple linear time trend. Our methodological results are motivated by a recent empirical climate literature that seeks to estimate and test hypotheses about the relative rate of warming in the lower-troposphere relative to surface warming - the so-called amplification ratio. We analyze the statistical properties of several estimators and test statistics that are configured to allow serial correlation in the data. The relative merits of the estimators and test statistics depend on the magnitude of the trend slopes relative to the noise in the data. Based on asymptotic theory and finite sample evidence, we make specific and concrete recommendations for practitioners. We apply the recommended estimator and confidence intervals to temperature data from the 1979-2014 period. We find that amplification ratios typically associated with climate models are rejected by the observed temperature data confirming and extending the empirical findings of Klotzbach et al (2009, 2010). Allowing for a structural change at the end of 1998 to account for the so-called "hiatus" in warming gives results similar to Klotzbach et al (2009, 2010).

Keywords: Trend Stationary; Bias Correction; HAC Estimator; Fixed-b Asymptotics; Amplification Ratio; Long Run Variance (search for similar items in EconPapers)
JEL-codes: C13 C19 (search for similar items in EconPapers)
Date: 2015-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Journal of Time Series Analysis 38.5(2017): pp. 640-667

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/117435/1/Trend-slopes-ratio-june-2016.pdf original version (application/pdf)

Related works:
Journal Article: Estimation and Inference of Linear Trend Slope Ratios With an Application to Global Temperature Data (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:117435

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().