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

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  • Luis Gil-Alana

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.

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  • Luis Gil-Alana, 2003. "Estimation of the degree of dependence in the temperatures in the northern hemisphere using semi-parametric techniques," Journal of Applied Statistics, Taylor & Francis Journals, vol. 30(9), pages 1021-1031.
    • Handle: RePEc:taf:japsta:v:30:y:2003:i:9:p:1021-1031
    DOI: 10.1080/0266476032000076146
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    References listed on IDEAS

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    1. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
    2. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
    3. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    4. Lobato, I. & Robinson, P. M., 1996. "Averaged periodogram estimation of long memory," Journal of Econometrics, Elsevier, vol. 73(1), pages 303-324, July.
    5. William R. Parke, 1999. "What Is Fractional Integration?," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 632-638, November.
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    Cited by:

    1. Lenin Arango-Castillo & Francisco J. Martínez-Ramírez & María José Orraca, 2024. "Univariate Measures of Persistence: A Comparative Analysis," Working Papers 2024-11, Banco de México.
    2. Terence C. Mills, 2007. "Time series modelling of two millennia of northern hemisphere temperatures: long memory or shifting trends?," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 170(1), pages 83-94, January.

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