Testing for Shifts in Trend With an Integrated or Stationary Noise Component

Perron, Pierre; Yabu, Tomoyoshi

doi:10.1198/jbes.2009.07268

Cited by 214 publications

(149 citation statements)

References 23 publications

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“…Depending on whether the process is stationary or integrated the limit distribution of these tests are different and, if the process is misidentified, the tests will have poor properties. Building on the work of Perron and Yabu (2009a), the Perron and Yabu (PY;2009b) test was designed explicitly to address the problem of testing for structural changes in the trend function of a univariate time series without any prior knowledge as to whether the noise component is stationary, I(0), or contains an autoregressive unit root, I(1). We present the case of a model with a one-time structural break in the slope of the trend function with an autoregressive noise component of order one (AR(1)); the case with general types of serial correlation in the noise is somewhat more involved (see Perron and Yabu, 2009b, for details), though the main ingredients are similar.…”

Section: Methodsmentioning

confidence: 99%

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Characterizing and attributing the warming trend in sea and land surface temperatures

Estrada

Martins

Perron³

2017

Atm

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RESUMENDebido a la variabilidad interna de baja frecuencia, las tendencias del calentamiento observadas y subyacentes en series de temperatura pueden ser marcadamente diferentes. Las temperaturas hemisféricas están caracterizadas por importantes discrepancias en las tendencias no lineales observadas, sugiriendo que los hemisferios norte y sur han respondido de manera diferente a los cambios en el forzamiento radiativo. Mediante la utilización de técnicas econométricas recientes es posible reconciliar estas diferencias y mostrar que todas las temperaturas terrestres y oceánicas comparten propiedades de series de tiempo similares, así como una tendencia subyacente común de origen antrópico. También se investiga la asimetría inter-hemisférica de temperatura (ITA, por sus siglas en inglés) y se muestra que la diferencia en el calentamiento entre hemisferios se debe en parte al forzamiento antrópico, pero que la mayoría de los cambios rápidos observados son probablemente producto de la variabilidad natural. La atribución de cambios en la ITA es importante porque los aumentos en el contraste de temperaturas entre hemisferios podrían ocasionar un desplazamiento de la zona intertropical de convergencia y alterar los patrones de precipitación. También se investigan la existencia y causas de una reciente ralentización en el calentamiento. Los resultados sugieren que dicha lentificación es una característica común de las temperaturas hemisféricas globales tanto en tierra como en el océano, y que puede atribuirse al menos parcialmente a cambios en el forzamiento antrópico. ABSTRACTBecause of low-frequency internal variability, the observed and underlying warming trends in temperature series can be markedly different. Important differences in the observed nonlinear trends in hemispheric temperature series suggest that the northern and southern hemispheres have responded differently to the changes in the radiative forcing. Using recent econometric techniques, we can reconcile such differences and show that all sea and land temperatures share similar time series properties and a common underlying warming trend having a dominant anthropogenic origin. We also investigate the interhemispheric temperature asymmetry (ITA) and show that the differences in warming between hemispheres are in part driven by anthropogenic forcing but that most of the observed rapid changes is likely due to natural variability. The attribution of changes in ITA is relevant since increases in the temperature contrast between hemispheres could potentially produce a shift in the Intertropical Convergence Zone and alter rainfall patterns. The existence of a current slowdown in the warming and its causes are also investigated. The results suggest that the slowdown is a common feature in global and hemispheric sea and land temperatures that can, at least partly, be attributed to changes in anthropogenic forcing.

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Section: Methodsmentioning

confidence: 99%

“…For robustness, in this second step, the three possible types of breaks considered by Perron and Yabu (2009b) are tested for: in the level, in the slope, and in the level and slope of the trend function. The general specification of the ARDL models used is:…”

Section: Testing For a Common Secular Trend Between Temperatures And mentioning

confidence: 99%

Characterizing and attributing the warming trend in sea and land surface temperatures

Estrada

Martins

Perron³

2017

Atm

Self Cite

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“…That causes a circular problem that weakens both kinds of tests. Perron and Yabu (2009) develop a test using a super-efficient estimator of unknown break dates with higher power and less size distortions. Based on Perron (1998, 2003) and Perron and Yabu (2009), Kejriwal and Perron (2010), from now on KP (2010), develop a sequential procedure to test the null hypothesis of l changes against the alternative hypothesis of (l + 1) changes.…”

Section: Trend Breaksmentioning

confidence: 99%

Is Sub-Saharan Africa catching up?

Noguera-Santaella

2016

Empir Econ

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This paper examines the catching-up process of sub-Saharan African countries. For that purpose, it investigates whether sub-Saharan African countries have shown a change in trend in their per capita GDP and whether these countries are closing the gap with developed economies, taking as reference the long-run per capita income growth rate of the USA. To test for changes in the level or in the trend, we use the algorithm developed by Kejriwal and Perron (

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“…Since the existence of structural break will affect the validity of our co-integrating rank tests results, structural break analysis was performed before the investigation of cointegration. Perron and Yabu (2009) In this analysis, we considered the one-time break in the intercept model:…”

Section: Structural Break Determinationmentioning

confidence: 99%

“…Applying the structural break analysis (Perron & Yabu 2009), we observed a significant structural break occurred for the stocks co-listing in Hong Kong and Shanghai Stock Exchanges between April 2007 and January 2009. We attempt to re-examine the existence of shares co-movement of the A-share (listed in Shanghai Stock Exchanges) and H-share (listed in Hong Kong Stock Exchange) prior and posterior to the financial turmoil in our study.…”

mentioning

confidence: 93%

In Depth Analysis of the Dually Listed Companies in Hong Kong and China Stock Markets Prior and Posterior to the Global Financial Turmoil

Choi¹,

Wong²,

Yiu³

et al. 2013

IJEF

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Given the close economic and political activities in Hong Kong and China, we expect the share prices of the companies co-listed in the two financial markets to go in tandem. In this paper, we re-visit the study of co-integration of companies listed in Hong Kong (H-shares) and in the Shanghai Stock Exchanges (A-shares), employing the Vector Error Correction Models (VECM) and Johansen Trace Test prior and posterior to the global financial crisis. Our results showed consistent and significant co-integration among these A-and Hshares co-listed in these markets.

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Testing for Shifts in Trend With an Integrated or Stationary Noise Component

Cited by 214 publications

References 23 publications

Characterizing and attributing the warming trend in sea and land surface temperatures

Characterizing and attributing the warming trend in sea and land surface temperatures

Is Sub-Saharan Africa catching up?

In Depth Analysis of the Dually Listed Companies in Hong Kong and China Stock Markets Prior and Posterior to the Global Financial Turmoil

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