Statistical Modelling 1 (2001), 143159
Modelling Global Temperature
Trends Using Cointegration and Smooth Transitions
David Harvey
Department of Economics, Loughborough University
Loughborough, Leics, LE11 3TU, UK
Terence Mills
Department of Economics, Loughborough University
Loughborough, Leics, LE11 3TU, UK
eMail:
T.C.Mills@lboro.ac.uk
Abstract:
We analyse annual
northern and southern hemisphere temperature
data from 1856 to 1998 using models that contain either stochastic
linear trends or deterministic nonlinear trends. We find that
changes in southern hemisphere temperatures lead to changes in
northern hemisphere temperatures, with no evidence of feedback,
in both types of model. Where the models differ is that the
assumption of stochastic linear trends leads to a common trend
with constant growth throughout the sample period, whereas with
deterministic nonlinear trends there are divergent trend growth
paths in the two hemispheres after the early part of the 20th
century.
Keywords:
global temperature; trends; cointegration; smooth transitions
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