Cointegration analysis of hemispheric temperature relations
نویسندگان
چکیده
منابع مشابه
Cointegration Analysis of Hemispheric Temperature Relations
In this paper, we use cointegration procedures to estimate a time series model of the relation among temperature and the radiative forcing of solar irradiance, greenhouse gases, and tropospheric sulfates. The results are consistent with some basic hypotheses regarding the effect of changes in radiative forcing on temperature and offer several lines of evidence that indicate human activity is pa...
متن کاملSemiparametric Fractional Cointegration Analysis
Fractional cointegration is viewed from a semiparametric viewpoint as a narrow-band phenomenon at frequency zero. Recent semiparametric methods of inference on memory parameters are developed to explore the possibility of fractional cointegration by means of testing the memory of observables and also new tests for the presence of fractional cointegration. These, along with narrow band estimates...
متن کاملBayesian Cointegration Analysis
This paper proposes Bayesian estimation of cointegrated VAR systems and a simple method of estimating the cointegration rank using the Bayes factors for the adjustment term. Monte Carlo experiments show that the method proposed is more powerful in selecting the rank, especially with a small sample size, than Johansen's LR test. This is due to the fact that Bayesian analysis uses the exact distr...
متن کاملBayesian Factorized Cointegration Analysis
The concept of cointegration is widely used in applied non-stationary time series analysis to describe the co-movement of data measured over time. In this paper, we proposed a Bayesian model for cointegration test and analysis, based on the dynamic latent factor framework. Efficient computational algorithms are also developed based on Markov Chain Monte Carlo (MCMC). Performance and efficiency ...
متن کاملFractional Nonparametric Cointegration Analysis
This paper provides a theoretical fractional cointegration analysis in a nonparametric framework. We solve a generalized eigenvalues problem, extending Bierens’ (1997) approach. To this end, a couple of random matrices is constructed, distinguishing between stationary and nonstationary part of the fractional integrated process. The asymptotic behavior of such matrices is studied and convergence...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Geophysical Research
سال: 2002
ISSN: 0148-0227
DOI: 10.1029/2000jd000174