HAC robust trend comparisons among climate series with possible level shifts
Tóm tắt
Comparisons of trends across climatic data sets are complicated by the presence of serial correlation and possible step‐changes in the mean. We build on heteroskedasticity and autocorrelation robust methods, specifically the Vogelsang–Franses (VF) nonparametric testing approach, to allow for a step‐change in the mean (level shift) at a known or unknown date. The VF method provides a powerful multivariate trend estimator robust to unknown serial correlation up to but not including unit roots. We show that the critical values change when the level shift occurs at a known or unknown date. We derive an asymptotic approximation that can be used to simulate critical values, and we outline a simple bootstrap procedure that generates valid critical values and
Từ khóa
Tài liệu tham khảo
Davidson R, 2004, Econometric Theory and Methods
Davies RB, 1987, Hypothesis testing when a nuisance parameter is present only under the alternative, Biometrica, 74, 33
HaimbergerL.2005.Homogenization of radiosonde temperature time series using ERA‐40 analysis feedback information. ERA‐40 Project Report Series No. 23 June 2005. Available online athttp://www.ecmwf.int/publications/library/ecpublications/_pdf/era40/ERA40_PRS23.pdf.
IPCC 2007
KarlTR HassolSJ MillerCD MurrayWL.2006.Temperature trends in the lower atmosphere: steps for understanding and reconciling differences.Synthesis and Assessment Product. Climate Change Science Program and the Subcommittee on Global Change Research.http://www.climatescience.gov/Library/sap/sap1‐1/finalreport/sap1‐1‐final‐all.pdf. Accessed August 3 2010.
Wooldridge J, 2005, Introductory Econometrics