Francesco Giancaterini, Alain Hecq, Claudio Morana
arXiv 16 May 2022 · Econometrics · publishedEconometrics (2022) · 7 citations (OpenAlex)
arXiv:2205.07579 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes strategies to detect time reversibility in stationary stochastic processes by using the properties of mixed causal and noncausal models. It shows that they can also be used for non-stationary processes when the trend component is computed with the Hodrick-Prescott filter rendering a time-reversible closed-form solution. This paper also links the concept of an environmental tipping point to the statistical property of time irreversibility and assesses fourteen climate indicators. We find evidence of time irreversibility in $GHG$ emissions, global temperature, global sea levels, sea ice area, and some natural oscillation indices. While not conclusive, our findings urge the implementation of correction policies to avoid the worst consequences of climate change and not miss the opportunity window, which might still be available, despite closing quickly.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Ramsey, J.B., Rothman, P (1996) Time irreversibility and business cycle asymmetry | 1.000 | 7 | 3 | 100% |
| 2 | Proietti, T (2020) Peaks, gaps, and time reversibility of economic time series | 1.000 | 5 | 3 | 100% |
| 3 | Breidt, F.J., Davis, R.A (1992) Time-reversibility, identifiability and independence of innovations for stationary time series | 0.874 | 5 | 2 | 100% |
| 4 | Chen, Y.T., Chou, R.Y., Kuan, C.M (2000) Testing time reversibility without moment restrictions | 0.737 | 3 | 2 | 100% |
| 5 | Hecq, A., Voisin, E (2021) Predicting bubble bursts in oil prices using mixed causal-noncausal models self | 0.737 | 3 | 2 | 100% |
| 6 | Hallin, M., Lefevre, C., Puri, M.L (1988) On time-reversibility and the uniqueness of moving average representations for non-gaussian stationary time series | 0.644 | 4 | 1 | 100% |
| 7 | Belaire-Franch, J., Contreras, D (2003) Tests for time reversibility: a complementarity analysis | 0.644 | 2 | 2 | 100% |
| 8 | Cai, W., Santoso, A., Collins, M., Dewitte, B., Karamperidou, C., Ku… (2021) Changing El Niño–Southern Oscillation in a warming climate | 0.644 | 2 | 2 | 100% |
| 9 | Weiss, G (1975) Time-reversibility of linear stochastic processes | 0.644 | 2 | 2 | 100% |
| 10 | Morana, C., Sbrana, G (2019) Some financial implications of global warming: An empirical assessment self | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 41 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 2505.14911 | 0.511 | 2 | 1 |
| 2 | Optimization of the Generalized Covariance Estimator in Noncausal Processes | 0.405 | 1 | 1 |
| 3 | 2501.03945 | 0.000 | 1 | 1 |