Travaglini, Guido (2010): Dynamic Econometric Testing of Climate Change and of its Causes.
Download (468kB) | Preview
The goal of this paper is to empirically test for structural breaks of world mean temperatures that may have ignited at some date the phenomenon known as “Climate Change” or “Global Warming”. Estimation by means of the dynamic Generalized Method of Moments is conducted on a large dataset spanning the recordable period from 1850 until present, and different tests and selection procedures among competing model specifications are utilized, such as Principal Component and Principal Factor Analysis, instrument validity, overtime changes in parameters and in shares of both natural and anthropogenic forcings. The results of estimation unmistakably show no involvement of anthropogenic forcings and no occurrence of significant breaks in world mean temperatures. Hence the hypothesis of a climate change in the last 150 years, suggested by the advocates of Global Warming, is rejected. Pacific Decadal Oscillations, sunspots and the major volcanic eruptions play the lion’s share in determining world temperatures, the first being a dimmer and the others substantial warmers.
|Item Type:||MPRA Paper|
|Original Title:||Dynamic Econometric Testing of Climate Change and of its Causes|
|Keywords:||Generalized Method of Moments, Global Warming, Principal Component and Factor Analysis, Structural Breaks.|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q5 - Environmental Economics > Q54 - Climate ; Natural Disasters and Their Management ; Global Warming
|Depositing User:||Guido Travaglini|
|Date Deposited:||05. Jul 2010 11:55|
|Last Modified:||31. Dec 2015 19:03|
Anatolyev S. and Gospodinov N. (2010) Specification Testing in Models with Many Instruments, Econometric Theory, forthcoming.
Anderson T.W. and Rubin H. (1949) Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations, The Annals of Mathematical Statistics, 20, 46-63.
Anderson T.W. (1984) An Introduction to Multivariate Statistical Analysis, Wiley, New York.
Andrews D.W.K. (1993) Tests for Parameter Instability and Structural Change with Unknown Change Point, Econometrica, 61, 821-856.
Andrews D.W.K., Moreira M. and Stock J.H. (2006) Optimal Two-Sided Invariant Similar Tests for Instrumental Variable Regression, Econometrica, 74, 715-752.
Andrews D.W.K. and Stock J.H. (2007) Testing With Many Weak Instruments, Journal of Econometrics, 138, 24-46.
Bai J. and Ng S. (2002) Determining the Number of Factors in Approximate Factor Models, Econometrica, 70, 191-221.
Bai J. and Ng S. (2007) Determining the Number of Primitive Shocks in Factor Models, Journal of Business and Economic Statistics, 25, 52-60.
Bai J. and Ng S. (2008) Instrumental Variable Estimation in a Data Rich Environment, Econometric Theory, Forthcoming.
Bai J. and Perron P. (2003) Computation and Analysis of Multiple Structural Change Models, Journal of Applied Econometrics, 18, 1-22.
Baliunas S. and Soon W. (2003) Lessons and Limits of Climate History: Was the 20th. Century Climate Unusual?, The George C. Marshall Institute, Washington D.C..
Banerjee A., Lumsdaine R.L. and Stock J.H. (1992) Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence, Journal of Business and Economic Statistics, 10, 271-287.
Bard, E., G. Raisbeck, F. Yiou, and J. Jouzel (2000) Solar irradiance during the last 1200 years based on cosmogenic nuclides, TELLUS B, 52, pp. 985-992.
Bard E. and Frank M. (2006) Climate Change and Solar Variability: What’s new Under the Sun?, Earth and Planetary Science Letters, 248, 1-14.
Brohan P., Kennedy J.J., Harris I., Tett S.F.B. and Jones P.D. (2006) Uncertainty Estimates in Regional and Global Observed Temperature Changes: a new Dataset from 1850, Geophysical Research, 111, DOI:10.1029/2005JD006548.
Bürger G., (2007) Comment on "The Spatial Extent of 20th-Century Warmth in the Context of the Past 1200 Years", Science, 316/5833, 1844.
Chamberlain G. and Rothschild M. (1983) Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets, Econometrica, 51, 1281-1304.
Chenet A.L., Fluteau F. and Courtillot V. (2005) Modeling Massive Sulphate Aerosol Pollution Following the Large 1783 Laki Basaltic Eruption, Earth and Planetary Science Letters, 236, 721-731.
Clarida R., Galì J. and Gertler M. (2000) Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory, The Quarterly Journal of Economics, CXV, 147-180.
Cragg J.G. and Donald S.G. (1993) Testing Identifiability and Specification in Instrumental Variable Models, Econometric Theory, 9, 222-240.
Crowley, T.J. (2000) Causes of Climate Change Over the Past 1000 Years, Science, 289, 270-277.
Cruz L.M. and Moreira M.J. (2005) On the Validity of Econometric Techniques with Weak Instruments, The Journal of Human Resources, XL, 393-410.
Cullen, H.M., deMenocal, P.B., Hemming, S., Hemming, G., Brown, F.H., Guilderson, T. and Sirocko, F. (2000) Climate Change and the Collapse of the Akkadian Empire: Evidence from the Deep Sea, Geology, 28, 379-382.
Dickey D.A. and Fuller W.A. (1979) Distribution of the Estimators for Autoregressive Time Series With a Unit Root, Journal of the American Statistical Association, 74, 427-431.
Doran P.T. and Zimmerman M.K. (2009) Examining the Scientific Consensus on Climate Change, Transactions of the American Geophysical Union, 90, No.3.
Engle R.F. (1982) Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation, Econometrica, 50, 987-1008.
Esper J. and Frank D. (2009) The IPCC on a heterogeneous Medieval Warm Period, Climatic Change, 94, 267–273
Fouka P., Fröhlich C., Spruit H. and Wigley T.M. (2006) Variations in Solar Luminosity and their Effect on the Earth's Climate, Nature, 443, 161-166.
Gill, R.B. (2000) The Great Maya Droughts: Water, Life, and Death, University of New Mexico Press, Albuquerque.
Granger C.W.J. (1969) Investigating Causal Relations by Econometric Models and Cross-Spectral Models, Econometrica, 37, 424-438.
Granger C.W.J. and Newbold P. (1974) Spurious Regressions in Econometrics, Journal of Econometrics, 2, 111-120.
Granger C.W.J., Namwon H. and Jeon Y. (2001) Spurious Regressions with Stationary Series, Applied Economics, 33, 899-904.
Gray W.M., Sheaffer J.D. and Landsea C.W. (1997) Climate Trends Associated with Multidecadal Variability of Atlantic Hurricane Activity, in Diaz H.F. and Pulwarty R.S. eds., Hurricanes: Climate and Socioeconomic Impacts, Springer-Verlag, New York, N.Y., 15-53.
Hansen B. E. (2000) Testing for Structural Change in Conditional Models, Journal of Econometrics, 97, 93-115.
Hansen B.E., Heaton J. and Yaron A. (1996) Finite Sample Properties of Some Alternative GMM Estimators, Journal of Business and Economic Statistics, 14, 262-80.
Hansen B.E. and West K.D. (2002) Generalized Method of Moments and Macroeconomics, Journal of Business and Economic Statistics, 20, 460-469.
Hansen J., Sato M., Kharecha P., Russell G., Lea D.W. and Siddall M. (2007) Climate Change and Trace Gases, Philosophical Transactions of the Royal Society, 365, 1925–1954.
Hansen L.P. (1982) Large Sample Properties of Generalized Method of Moments Estimator, Econometrica, 50, 1029-1054.
Hodrick, R., and E.P. Prescott, (1997) Postwar Business Cycles: An Empirical Investigation, Journal of Money, Credit and Banking, 29, 1–16
Kaufmann R.K., Kauppi H. and Stock J.H. (2006) Emissions, Concentrations and Temperature: A Time Series Analysis, Climatic Change, in review.
Kiefer N.M. and Vogelsang T.J. (2002) Heteroskedasticity-Autocorrelation Robust Testing Using Bandwidth Equal to Sample Size, Econometric Theory, 18, 1350-66.
Kim D. and Lee Y. (2009) Likelihood Ratio based Joint Test for the Exogeneity and the Relevance of Instrumental Variables, mimeo.
Kim D. and Perron P. (2009) Unit Root Tests Allowing for a Break in the Trend Function at an Unknown Time under Both the Null and Alternative Hypotheses, Journal of Econometrics, 148, 1-13.
Kleibergen, F. (2002) Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression, Econometrica, 70, 1781-1803.
Kleibergen, F. (2005) Testing Parameters in GMM without Assuming that they are Identified, Econometrica, 73, 1103-1124.
Kleibergen, F. (2008) Testing, New Palgrave Dictionary of Economics, Edited by Durlauf S.N. and Blume L.E., Second Edition.
Kleibergen F. and Mavroeidis S. (2009) Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve, Journal of Business and Economic Statistics, 27, 293-311.
Kleibergen F. and Paap R. (2007) Generalized Reduced Rank Tests using the Singular Value Decomposition, Journal of Econometrics, 139, 181-216.
Krivova N.A., Balmaceda L. and Solanki S.K. (2007) Reconstruction of solar total irradiance since 1700 from the surface magnetic flux, Astronomy & Astrophysics, 467, 335–346.
Lanne M. and Liski M. (2004) Trends and Breaks in Percapita Carbon Dioxide Emissions, 1870-2029, The Energy Journal, 25, 41-65.
Lean, J. (2000) Evolution of the Sun's Spectral Irradiance since the Maunder Minimum, Geophysical Research Letters, 27, 16, 2425-2428.
Lean, J. (2004) Solar Irradiance Reconstruction, IGBP PAGES/World Data Center for Paleoclimatology, Data Contribution Series No. 2004-035, NOAA/NGDC Paleoclimatology Program.
Maddison A. (2007) The Contours of the World Economy 1-2030 AD, Oxford University Press, Oxford, U.K.
Mann, M.E., Cane M.A., Zebiak S.E., and Clement A. (2005) Volcanic and Solar Forcing of the Tropical Pacific over the Past 1000 Years, Journal of Climate, 18, 417-456.
Marland G., Boden T.A. and Andres R.J. (2007) Global, Regional, and National CO2 Emissions. In Trends: A Compendium of Data on Global Change, Carbon Dioxide Information Analysis Center, Oak Ridge National Laboratory, U.S. Department of Energy, Oak Ridge, Tenn., U.S.A.
McDonald G.M. and Case R.A. (2005) Variations in the Pacific Decadal Oscillation over the Past Millennium, Geophysical Research Letters, 32, L08703, doi:10.1029/2005GL022478.
Mikusheva A. (2007) Robust Confidence Sets in the Presence of Weak Instruments, MIT, Department of Economics, Working Paper No. 07-27.
National Geophysical Data Center (NGDC, 2007) Tables of Monthly Sunspot Numbers 1700-Present, NOAA Satellite and Information Service.
Newey W. and West K. (1987) A Simple Positive-Definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica, 55, 703-708.
Newey W. and Smith R.J. (2004) Higher Order Properties of GMM and Generalized Empirical Likelihood Estimators, Econometrica, 72, 219-255.
Newey W. and Windmeijer F. (2009) GMM with Many Weak Moment Conditions, Econometrica, 77, 687-719.
Noriega A. E. and Ventosa-Santaulària N. (2005) Spurious Regression under Broken Trend Stationarity, School of Economics, University of Guanajuato, Working Paper EM-0501.
Perron P. (1989) The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis, Econometrica, 57, 1361-1401.
Perron P. (1997) Further Evidence on Breaking Trend Functions in Macroeconomic Variables, Journal of Econometrics, 80, 335-385.
Perron P. and Yabu T. (2009) Estimating Deterministic Trends with an Integrated or Stationary Noise Component, Journal of Econometrics, 151, 56-69.
Perron P. and Zhu X. (2005) Structural Breaks with Deterministic and Stochastic Trends, Journal of Econometrics, 129, 65-119.
Phillips P.C.B. (1986) Understanding Spurious Regressions in Econometrics, Journal of Econometrics, 33, 311-340.
Ravn M.O. and Uhlig H. (2001) On Adjusting the HP-Filter for the Frequency of Observations, LBS Department of Economics, Working Paper No. DP (2001)/1.
Rind D., Lean J., Lerner J., Lonergan P. and Leboissitier A. (2008) Exploring the stratospheric/tropospheric response to solar forcing, Journal of Geophysical Research, 113, DOI:10.1029/2008JD010114.
Robertson A., Overpeck J., Rind D., Mosley-Thompson E., Zielinski G., Lean J., Koch D., Penner J., Tegen I., and Healy R. (2001) Hypothesized Climate Forcing Time Series for the Last 500 Years, Journal of Geophysical Research, 106, 14,783-14,803.
Shaviv N. (2005) On Climate Response to Changes in the Cosmic Ray Flux and Radiative Budget, Journal of Geophysical Research, 110, 1-15.
Shaviv N. and Veizer J. (2003) Celestial Driver of Phanerozoic climate?, GSA Today, 13, 4-10.
Shen C., Wang W.C., Gong W. and Hao Z. (2006) A Pacific Decadal Oscillation Record since 1470 AD Reconstructed from Proxy Data of Summer Rainfall over Eastern China, Geophysical Research Letters, 33, L03702.
Shindell D.T., Schmidt G.A., Mann E.M. and Faluvegi G. (2004) Dynamic Winter Climate Response to Large Tropical Volcanic Eruptions since 1600, Journal of Geophysical Research, 109, D05104, 1-12.
Smith R.J. (2005) Automatic Positive Semidefinite HAC Covariance Matrix and GMM estimation, Econometric Theory, 25, 158-70.
Solanki S.K., Usoskin I.G., Kromer B., Schüssler M. and Beer J. (2004) Unusual Activity of the Sun During Recent Decades Compared to the Previous 11,000 Years, Nature, 431, 1084 - 1087.
Staiger D. and Stock J.H. (1997) Instrumental Variables Regression with Weak Instruments, Econometrica, 65, 557-86.
Stern D. I. (2002) Explaining Changes in Global Sulfur Emissions: an Econometric Decomposition Approach, Ecological Economics 42, 201-220.
Stern D.I. (2004) A Multicointegration Model of Global Climate Change, Rensselaer Working Papers in Economics, No. 0406.
Stock J.H. and Wright J. (2000) GMM with Weak Identification, Econometrica, 68, 1055-1096.
Stock J. H., Yogo M. and Wright J. (2002) A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments, Journal of Business and Economic Statistics, 20, 518-529.
Stock J.H. and Yogo M. (2003) Testing for Weak Instruments in Linear IV Regression, Department of Economics, Harvard University.
Sun Y. (2004) A Convergent t-statistic in Spurious Regressions, Econometric Theory, 20, 943-962.
Sun, Y., Phillips P.C.B. and Jin S. (2008) Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing, Econometrica 76, 175-94.
Svensmark H. (1998) Influence of Cosmic Rays on Earth’s Climate, Physical Review Letters, 81, 5027-5030.
Svensmark, H. and Frijs-Christensen, E. (2007) Reply to Lockwood and Fröhlich. The Persistent Role of the Sun in Climate Forcing, Danish National Space Center Scientific Report 3/(2007).
Trouet, V., Esper J., Graham N.E., Baker A., Scourse J.D. and Frank D.C. (2009) Persistent Positive North Atlantic Oscillation Mode Dominated the Medieval Climate Anomaly, Science, 324, 78-80.
Usoskin I.G., Mursula K., Solanki S., Schüssler M. and Kovaltsov G.A. (2003) A Physical Reconstruction of Cosmic Ray Intensity since 1610, Journal of Geophysical Research, 107, SSH 13, 1-6.
Usoskin I.G., Mursula K., Solanki S., Schüssler M. and Alanko K. (2004a) Reconstruction of Solar Activity for the Last Millennium using Data, Astronomy and Astrophysics, 413, 745-751.
Usoskin I.G., Mursula K., Solanki S., Schüssler M. and Alanko K. (2004b) Millennium-Scale Sunspot Number Reconstruction: Evidence for an Unusually Active Sun since the 1940s, Physical Review Letters, 91, 211101:1-4.
Usoskin I.G., Solanki S.K. and Korte M. (2006) Solar Activity Reconstructed over the Last 7000 years: The Influence of Geomagnetic Field Changes, Geophysical Research Letters, 33, L08103, 1-4.
Vogelsang T.J. (1997) Wald-Type Tests for Detecting Breaks in the Trend Function of a Dynamic Time Series, Economic Theory, 13, 818-849.
Vogelsang T.J. (1999) Testing for a Shift in Trend when Serial Correlation is of Unknown Form, Tinbergen Institute of Econometrics, Discussion Paper No. TI99-016/4.
Vogelsang T.J. and Perron P. (1998) Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time, International Economic Review, 39, 1073-1100.
Yogo M. (2004) Estimating the Elasticity of Intertemporal Substitution when Instruments are Weak, Review of Economics and Statistics, 86, 797–810.
Zivot E. and Andrews D.W.K. (1992) Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis, Journal of Business and Economic Statistics, 10, 251-270.