A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests

This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the familiar Gaussian basedtests of Johansen, we also consider tests based on non-Gaussianquasi-likelihoods. Moreover, we compare the performance of these parametrictests with tests that estimate the score function from the data using eitherkernel estimation or semi-nonparametric density approximations. Thecomparison is completed with a fully nonparametric cointegration test. Insmall samples, the overall performance of the semi-nonparametric approachappears best in terms of size and power. The main cost of thesemi-nonparametric approach is the increased computation time. In largesamples and for heavily skewed or multimodal distributions, the kernel basedadaptive method dominates. For near-Gaussian distributions, however, thesemi-nonparametric approach is preferable again

Limiting distributions for explosive PAR(1) time series with strongly mixing innovation

This work deals with the limiting distribution of the least squares estimators of the coefficients a r of an explosive periodic autoregressive of order 1 (PAR(1)) time series X r = a r X r--1 +u r when the innovation {u k } is strongly mixing. More precisely {a r } is a periodic sequence of real numbers with period P \textgreater{} 0 and such that P r=1 |a r | \textgreater{} 1. The time series {u r } is periodically distributed with the same period P and satisfies the strong mixing property, so the random variables u r can be correlated

Punctuated Shutdown of Atlantic Meridional Overturning Circulation during Greenland Stadial 1.

The Greenland Stadial 1 (GS-1; ~12.9 to 11.65 kyr cal BP) was a period of North Atlantic cooling, thought to have been initiated by North America fresh water runoff that caused a sustained reduction of North Atlantic Meridional Overturning Circulation (AMOC), resulting in an antiphase temperature response between the hemispheres (the 'bipolar seesaw'). Here we exploit sub-fossil New Zealand kauri trees to report the first securely dated, decadally-resolved atmospheric radiocarbon ((14)C) record spanning GS-1. By precisely aligning Southern and Northern Hemisphere tree-ring (14)C records with marine (14)C sequences we document two relatively short periods of AMOC collapse during the stadial, at ~12,920-12,640 cal BP and 12,050-11,900 cal BP. In addition, our data show that the interhemispheric atmospheric (14)C offset was close to zero prior to GS-1, before reaching 'near-modern' values at ~12,660 cal BP, consistent with synchronous recovery of overturning in both hemispheres and increased Southern Ocean ventilation. Hence, sustained North Atlantic cooling across GS-1 was not driven by a prolonged AMOC reduction but probably due to an equatorward migration of the Polar Front, reducing the advection of southwesterly air masses to high latitudes. Our findings suggest opposing hemispheric temperature trends were driven by atmospheric teleconnections, rather than AMOC changes

Unit roots in periodic autoregressions

Abstract. This paper analyzes the presence and consequences of a unit root in periodic autoregressive models for univariate quarterly time series. First, we consider various representations of such models, including a new parametrization which facilitates imposing a unit root restriction. Next, we propose a class of likelihood ratio tests for a unit root, and we derive their asymptotic null distributions. Likelihood ratio tests for periodic parameter variation are also proposed. Finally, we analyze the impact on unit root inference of misspecifying a periodic process by a constant-parameter model

Rapid global ocean-atmosphere response to Southern Ocean freshening during the last glacial.

Contrasting Greenland and Antarctic temperatures during the last glacial period (115,000 to 11,650 years ago) are thought to have been driven by imbalances in the rates of formation of North Atlantic and Antarctic Deep Water (the 'bipolar seesaw'). Here we exploit a bidecadally resolved 14C data set obtained from New Zealand kauri (Agathis australis) to undertake high-precision alignment of key climate data sets spanning iceberg-rafted debris event Heinrich 3 and Greenland Interstadial (GI) 5.1 in the North Atlantic (~30,400 to 28,400 years ago). We observe no divergence between the kauri and Atlantic marine sediment 14C data sets, implying limited changes in deep water formation. However, a Southern Ocean (Atlantic-sector) iceberg rafted debris event appears to have occurred synchronously with GI-5.1 warming and decreased precipitation over the western equatorial Pacific and Atlantic. An ensemble of transient meltwater simulations shows that Antarctic-sourced salinity anomalies can generate climate changes that are propagated globally via an atmospheric Rossby wave train.A challenge for testing mechanisms of past climate change is the precise correlation of palaeoclimate records. Here, through climate modelling and the alignment of terrestrial, ice and marine 14C and 10Be records, the authors show that Southern Ocean freshwater hosing can trigger global change

Dordt College 2003-2004 Catalog

Academic Catalog for 2003-04https://digitalcollections.dordt.edu/academic_catalogs/1012/thumbnail.jp