Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models
We use data on the following climate variables for the period of the last 798 thousand years: global ice volume (<inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>Ice</mi><mi>t</mi&g...
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-02-01
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| Series: | Econometrics |
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| Online Access: | https://www.mdpi.com/2225-1146/10/1/9 |
| _version_ | 1827629139273711616 |
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| author | Szabolcs Blazsek Alvaro Escribano |
| author_facet | Szabolcs Blazsek Alvaro Escribano |
| author_sort | Szabolcs Blazsek |
| collection | DOAJ |
| description | We use data on the following climate variables for the period of the last 798 thousand years: global ice volume (<inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>Ice</mi><mi>t</mi></msub></semantics></math></inline-formula>), atmospheric carbon dioxide level (<inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>CO</mi><mrow><mn>2</mn><mo>,</mo><mi>t</mi></mrow></msub></semantics></math></inline-formula>), and Antarctic land surface temperature (<inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>Temp</mi><mi>t</mi></msub></semantics></math></inline-formula>). Those variables are cyclical and are driven by the following strongly exogenous orbital variables: eccentricity of the Earth’s orbit, obliquity, and precession of the equinox. We introduce score-driven ice-age models which use robust filters of the conditional mean and variance, generalizing the updating mechanism and solving the misspecification of a recent climate–econometric model (benchmark ice-age model). The score-driven models control for omitted exogenous variables and extreme events, using more general dynamic structures and heteroskedasticity. We find that the score-driven models improve the performance of the benchmark ice-age model. We provide out-of-sample forecasts of the climate variables for the last 100 thousand years. We show that during the last 10–15 thousand years of the forecasting period, for which humanity influenced the Earth’s climate, (i) the forecasts of <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>Ice</mi><mi>t</mi></msub></semantics></math></inline-formula> are above the observed <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>Ice</mi><mi>t</mi></msub></semantics></math></inline-formula>, (ii) the forecasts of <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>CO</mi><mrow><mn>2</mn><mo>,</mo><mi>t</mi></mrow></msub></semantics></math></inline-formula> level are below the observed <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>CO</mi><mrow><mn>2</mn><mo>,</mo><mi>t</mi></mrow></msub></semantics></math></inline-formula>, and (iii) the forecasts of <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>Temp</mi><mi>t</mi></msub></semantics></math></inline-formula> are below the observed <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>Temp</mi><mi>t</mi></msub></semantics></math></inline-formula>. The forecasts for the benchmark ice-age model are reinforced by the score-driven models. |
| first_indexed | 2024-03-09T13:46:28Z |
| format | Article |
| id | doaj.art-b468d4e967f44adc9358ab6d061f7787 |
| institution | Directory Open Access Journal |
| issn | 2225-1146 |
| language | English |
| last_indexed | 2024-03-09T13:46:28Z |
| publishDate | 2022-02-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Econometrics |
| spelling | doaj.art-b468d4e967f44adc9358ab6d061f77872023-11-30T20:59:55ZengMDPI AGEconometrics2225-11462022-02-01101910.3390/econometrics10010009Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age ModelsSzabolcs Blazsek0Alvaro Escribano1School of Business, Universidad Francisco Marroquín, Guatemala 01010, GuatemalaDepartment of Economics, Universidad Carlos III de Madrid, Calle Madrid 126, 28903 Getafe, SpainWe use data on the following climate variables for the period of the last 798 thousand years: global ice volume (<inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>Ice</mi><mi>t</mi></msub></semantics></math></inline-formula>), atmospheric carbon dioxide level (<inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>CO</mi><mrow><mn>2</mn><mo>,</mo><mi>t</mi></mrow></msub></semantics></math></inline-formula>), and Antarctic land surface temperature (<inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>Temp</mi><mi>t</mi></msub></semantics></math></inline-formula>). Those variables are cyclical and are driven by the following strongly exogenous orbital variables: eccentricity of the Earth’s orbit, obliquity, and precession of the equinox. We introduce score-driven ice-age models which use robust filters of the conditional mean and variance, generalizing the updating mechanism and solving the misspecification of a recent climate–econometric model (benchmark ice-age model). The score-driven models control for omitted exogenous variables and extreme events, using more general dynamic structures and heteroskedasticity. We find that the score-driven models improve the performance of the benchmark ice-age model. We provide out-of-sample forecasts of the climate variables for the last 100 thousand years. We show that during the last 10–15 thousand years of the forecasting period, for which humanity influenced the Earth’s climate, (i) the forecasts of <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>Ice</mi><mi>t</mi></msub></semantics></math></inline-formula> are above the observed <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>Ice</mi><mi>t</mi></msub></semantics></math></inline-formula>, (ii) the forecasts of <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>CO</mi><mrow><mn>2</mn><mo>,</mo><mi>t</mi></mrow></msub></semantics></math></inline-formula> level are below the observed <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>CO</mi><mrow><mn>2</mn><mo>,</mo><mi>t</mi></mrow></msub></semantics></math></inline-formula>, and (iii) the forecasts of <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>Temp</mi><mi>t</mi></msub></semantics></math></inline-formula> are below the observed <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msub><mi>Temp</mi><mi>t</mi></msub></semantics></math></inline-formula>. The forecasts for the benchmark ice-age model are reinforced by the score-driven models.https://www.mdpi.com/2225-1146/10/1/9climate changeice-ages and inter-glacial periodsglobal ice volumeatmospheric CO<sub>2</sub>Antarctic land surface temperaturedynamic conditional score |
| spellingShingle | Szabolcs Blazsek Alvaro Escribano Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models Econometrics climate change ice-ages and inter-glacial periods global ice volume atmospheric CO<sub>2</sub> Antarctic land surface temperature dynamic conditional score |
| title | Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models |
| title_full | Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models |
| title_fullStr | Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models |
| title_full_unstemmed | Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models |
| title_short | Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models |
| title_sort | robust estimation and forecasting of climate change using score driven ice age models |
| topic | climate change ice-ages and inter-glacial periods global ice volume atmospheric CO<sub>2</sub> Antarctic land surface temperature dynamic conditional score |
| url | https://www.mdpi.com/2225-1146/10/1/9 |
| work_keys_str_mv | AT szabolcsblazsek robustestimationandforecastingofclimatechangeusingscoredriveniceagemodels AT alvaroescribano robustestimationandforecastingofclimatechangeusingscoredriveniceagemodels |