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Journal article

Detecting volcanic eruptions in temperature reconstructions by designed break-indicator saturation

Abstract:

We present a methodology for detecting breaks at any point in time-series regression models using an indicator saturation approach, applied here to modelling climate change. Building on recent developments in econometric model selection for more variables than observations, we saturate a regression model with a full set of designed break functions. By selecting over these break functions using an extended general-to-specific algorithm, we obtain unbiased estimates of the break date and magnit...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1111/joes.12148

Authors


More by this author
Institution:
University of Oxford
Division:
SSD
Department:
Economics
Role:
Author
More by this author
Institution:
University of Oxford
Division:
SSD
Department:
Economics
Role:
Author
Oxford Martin School More from this funder
Open Society Foundations More from this funder
Robertson Foundation More from this funder
British Academy More from this funder
Publisher:
Wiley Publisher's website
Journal:
Journal of Economic Surveys Journal website
Volume:
30
Issue:
3
Pages:
403–429
Publication date:
2016-04-20
Acceptance date:
2016-02-15
DOI:
EISSN:
1467-6419
ISSN:
0950-0804
Source identifiers:
605676
Keywords:
Pubs id:
pubs:605676
UUID:
uuid:06fbedb7-55d0-4ed0-9193-a9361ef0ca26
Local pid:
pubs:605676
Deposit date:
2016-02-23

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