Open Access. Powered by Scholars. Published by Universities.®
Social and Behavioral Sciences Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 2 of 2
Full-Text Articles in Social and Behavioral Sciences
Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression, Degui Li, Peter C.B. Phillips, Jiti Gao
Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression, Degui Li, Peter C.B. Phillips, Jiti Gao
Cowles Foundation Discussion Papers
This paper studies nonlinear cointegrating models with time-varying coefficients and multiple nonstationary regressors using classic kernel smoothing methods to estimate the coefficient functions. Extending earlier work on nonstationary kernel regression to take account of practical features of the data, we allow the regressors to be cointegrated and to embody a mixture of stochastic and deterministic trends, complications which result in asymptotic degeneracy of the kernel-weighted signal matrix. To address these complications new \textsl{local} and \textsl{global rotation} techniques are introduced to transform the covariate space to accommodate multiple scenarios of induced degeneracy. Under certain regularity conditions we derive asymptotic results that …
Econometric Measurement Of Earth's Transient Climate Sensitivity, Peter C.B. Phillips, Thomas Leirvik, Trude Storelvmo
Econometric Measurement Of Earth's Transient Climate Sensitivity, Peter C.B. Phillips, Thomas Leirvik, Trude Storelvmo
Cowles Foundation Discussion Papers
How sensitive is Earth’s climate to a given increase in atmospheric greenhouse gas (GHG) concentrations? This long-standing and fundamental question in climate science was recently analyzed by dynamic panel data methods using extensive spatiotemporal data of global surface temperatures, solar radiation, and GHG concentrations over the last half century to 2010 (Storelvmo et al, 2016). These methods revealed that atmospheric aerosol effects masked approximately one-third of the continental warming due to increasing GHG concentrations over this period, thereby implying greater climate sensitivity to GHGs than previously thought. The present study provides asymptotic theory justifying the use of these methods when …