Marina Friedrich, Luca Margaritella, Stephan Smeekes
arXiv 8 Feb 2023 · Econometrics · 1 citations (OpenAlex)
arXiv:2302.03996 · PDF · DOI · OpenAlex · Extracted main text
In this paper we test for Granger causality in high-dimensional vector autoregressive models (VARs) to disentangle and interpret the complex causal chains linking radiative forcings and global temperatures. By allowing for high dimensionality in the model, we can enrich the information set with relevant natural and anthropogenic forcing variables to obtain reliable causal relations. This provides a step forward from existing climatology literature, which has mostly treated these variables in isolation in small models. Additionally, our framework allows to disregard the order of integration of the variables by directly estimating the VAR in levels, thus avoiding accumulating biases coming from unit-root and cointegration tests. This is of particular appeal for climate time series which are well known to contain stochastic trends and long memory. We are thus able to establish causal networks linking radiative forcings to global temperatures and to connect radiative forcings among themselves, thereby allowing for tracing the path of dynamic causal effects through the system.
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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 | Hecq, A., Margaritella, L., & Smeekes, S (2023) Inference in Non-Stationary High-Dimensional VARs self | 1.000 | 7 | 3 | 100% |
| 2 | Stern, D. & Kaufmann, R (2014) Anthropogenic and natural causes of climate change | 0.811 | 4 | 2 | 100% |
| 3 | Hansen, J., Sato, M., Kharecha, P., Schuckmann, K. v., Beerling, D.… (2017) Young people's burden: requirement of negative co 2 emissions | 0.693 | 7 | 1 | 100% |
| 4 | Triacca, U., Attanasio, A., & Pasini, A (2013) Anthropogenic global warming hypothesis: testing its robustness by granger causality analysis | 0.644 | 2 | 2 | 100% |
| 5 | Granger, C. W (1969) Investigating causal relations by econometric models and cross-spectral methods | 0.644 | 2 | 2 | 100% |
| 6 | Triacca, U (2005) Is granger causality analysis appropriate to investigate the relationship between atmospheric concentration of carbon dioxide an… | 0.644 | 2 | 2 | 100% |
| 7 | Hecq, A., Margaritella, L., & Smeekes, S (2023) Granger causality testing in high-dimensional vars: A post-double-selection procedure self | 0.585 | 3 | 1 | 100% |
| 8 | Bach, E., Motesharrei, S., Kalnay, E., & Ruiz-Barradas, A (2019) Local atmosphere–ocean predictability: Dynamical origins, lead times, and seasonality | 0.511 | 2 | 1 | 100% |
| 9 | Kaufmann, R. K., Kauppi, H., Mann, M. L., & Stock, J. H (2013) Does temperature contain a stochastic trend: linking statistical results to physical mechanisms | 0.511 | 2 | 1 | 100% |
| 10 | Toda, H. Y. & Yamamoto, T (1995) Statistical inference in vector autoregressions with possibly integrated processes | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 44 scored citations.