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Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach

Author

Listed:
  • Francis X. Diebold

    (University of Pennsylvania)

  • Maximilian Gobel

    (ISEG - Universidade de Lisboa)

  • Philippe Goulet Coulombe

    (University of Pennsylvania)

  • Glenn D. Rudebusch

    (Federal Reserve Bank of San Francisco)

  • Boyuan Zhang

    (University of Pennsylvania)

Abstract

The diminishing extent of Arctic sea ice is a key indicator of climate change as well as an accelerant for future global warming. Since 1978, Arctic sea ice has been measured using satellite-based microwave sensing; however, different measures of Arctic sea ice extent have been made available based on differing algorithmic transformations of the raw satellite data. We propose and estimate a dynamic factor model that combines four of these measures in an optimal way that accounts for their differing volatility and cross-correlations. From this model, we extract an optimal combined measure of Arctic sea ice extent using the Kalman smoother.

Suggested Citation

  • Francis X. Diebold & Maximilian Gobel & Philippe Goulet Coulombe & Glenn D. Rudebusch & Boyuan Zhang, 2020. "Optimal Combination of Arctic Sea Ice Extent Measures: A Dynamic Factor Modeling Approach," PIER Working Paper Archive 20-012, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    • Handle: RePEc:pen:papers:20-012
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    References listed on IDEAS

    as
    1. Diebold, Francis X. & Rudebusch, Glenn D., 2022. "Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections," Journal of Econometrics, Elsevier, vol. 231(2), pages 520-534.
    2. Stock, James H. & Watson, Mark, 2011. "Dynamic Factor Models," Scholarly Articles 28469541, Harvard University Department of Economics.
    3. Francis X. Diebold & Glenn D. Rudebusch, 2019. "Probability Assessments of an Ice-Free Arctic: Comparing Statistical and Climate Model Projections," PIER Working Paper Archive 19-021, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    4. A. Vaks & A. J. Mason & S. F. M. Breitenbach & A. M. Kononov & A. V. Osinzev & M. Rosensaft & A. Borshevsky & O. S. Gutareva & G. M. Henderson, 2020. "Palaeoclimate evidence of vulnerable permafrost during times of low sea ice," Nature, Nature, vol. 577(7789), pages 221-225, January.
    5. Aruoba, S. Borağan & Diebold, Francis X. & Nalewaik, Jeremy & Schorfheide, Frank & Song, Dongho, 2016. "Improving GDP measurement: A measurement-error perspective," Journal of Econometrics, Elsevier, vol. 191(2), pages 384-397.
    6. Julienne Stroeve & Mark Serreze & Marika Holland & Jennifer Kay & James Malanik & Andrew Barrett, 2012. "The Arctic’s rapidly shrinking sea ice cover: a research synthesis," Climatic Change, Springer, vol. 110(3), pages 1005-1027, February.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Diebold, Francis X. & Rudebusch, Glenn D., 2022. "Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections," Journal of Econometrics, Elsevier, vol. 231(2), pages 520-534.
    2. De Juan Fernández, Aránzazu & Poncela, Pilar & Rodríguez Caballero, Carlos Vladimir, 2022. "Economic activity and climate change," DES - Working Papers. Statistics and Econometrics. WS 35044, Universidad Carlos III de Madrid. Departamento de Estadística.
    3. Diebold, Francis X. & Rudebusch, Glenn D., 2023. "Climate models underestimate the sensitivity of Arctic sea ice to carbon emissions," Energy Economics, Elsevier, vol. 126(C).
    4. Hee Soo (test record) Kim & Christian Matthes & Toan Phan, 2011. "Extreme Weather and the Macroeconomy," Working Paper 21-14, Federal Reserve Bank of Richmond.
    5. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    6. Francis X. Diebold & Maximilian Goebel & Philippe Goulet Coulombe, 2022. "Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models," Papers 2206.10721, arXiv.org, revised Jun 2023.
    7. Robert Amano & Marc-André Gosselin & Julien McDonald-Guimond, 2021. "Evolving Temperature Dynamics in Canada: Preliminary Evidence Based on 60 Years of Data," Staff Working Papers 21-22, Bank of Canada.
    8. Diebold, Francis X. & Göbel, Maximilian & Goulet Coulombe, Philippe, 2023. "Assessing and comparing fixed-target forecasts of Arctic sea ice: Glide charts for feature-engineered linear regression and machine learning models," Energy Economics, Elsevier, vol. 124(C).
    9. Escribano, Alvaro & Peña, Daniel & Ruiz, Esther, 2021. "30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1333-1337.
    10. Atin Aboutorabi & Ga'etan de Rassenfosse, 2024. "Nowcasting R&D Expenditures: A Machine Learning Approach," Papers 2407.11765, arXiv.org.
    11. Diego Fresoli & Pilar Poncela & Esther Ruiz, 2024. "Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors," Papers 2407.06883, arXiv.org.
    12. Marina Friedrich & Luca Margaritella & Stephan Smeekes, 2023. "High-Dimensional Granger Causality for Climatic Attribution," Papers 2302.03996, arXiv.org, revised Jun 2024.

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    More about this item

    Keywords

    Climate modeling; nowcasting; model averaging; ensemble averaging;
    All these keywords.

    JEL classification:

    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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