Papers by Umberto Triacca
On the Unforced or Forced Nature of the Atlantic Multidecadal Oscillation: A Linear and Nonlinear Causality Analysis
Climate, Jun 26, 2024
International Journal of Climatology, Mar 9, 2020
In this article, the time series of the North Hemispheric and South Hemispheric temperature anoma... more In this article, the time series of the North Hemispheric and South Hemispheric temperature anomalies are examined. Our results suggest that there is no evidence of any difference in the autocorrelation structure of the two hemispheric temperatures. They have the same second-order dynamics. It is important to stress that this finding has been established using not a descriptive method but an inferential procedure.
Estimate of a volatility's common component in ARSV models: a simulation study
Journal of Statistical Computation and Simulation, Dec 28, 2022
Testing for Zero Correlation between Two Uncorrelated Non-Linearly Dependent Random Variables: A Cautionary Note
Thailand Statistician, Jul 8, 2017
A simulation study was performed to analyze the effects of violations of the normality assumption... more A simulation study was performed to analyze the effects of violations of the normality assumption on the t-test of the Pearson correlation coefficient when the variables are not independent, even though the population correlation is zero. Large effects for violations of normality were found. The Type I error rate can be either inflated or deflated with respect to the assumed error rate. A recommendation is made that the use of the t-test be avoided where there are good reasons to believe that a nonlinear relationship exists between the variables.
Non-causality: The role of the omitted variables
Economics Letters, Sep 1, 1998
It is well known that Granger non-causality in a bivariate system may be due to an omitted variab... more It is well known that Granger non-causality in a bivariate system may be due to an omitted variable, (Granger, 1969, see Lutkepohl, 1982). If Y 3 does not cause Y 1 in the bivariate system ( ) and Y 3 causes Y 1 in a higher-order system ( ), then the omitted variable Y 2 must ...
International Journal of Climatology, 2020
In this article, the time series of the North Hemispheric and South Hemispheric temperature anoma... more In this article, the time series of the North Hemispheric and South Hemispheric temperature anomalies are examined. Our results suggest that there is no evidence of any difference in the autocorrelation structure of the two hemispheric temperatures. They have the same second‐order dynamics. It is important to stress that this finding has been established using not a descriptive method but an inferential procedure.
A Hilbert space proof of equivalence of the Granger and Sims notions of causality
International Journal of Mathematics and Statistics, May 15, 2007
ABSTRACT By using the geometrical concept of splitting subspaces we give an alternative proof of ... more ABSTRACT By using the geometrical concept of splitting subspaces we give an alternative proof of equivalence of the Granger and Sims notions of causality. We also derive a sufficient condition for Pierce-Haugh non-causality.
HAL (Le Centre pour la Communication Scientifique Directe), Apr 16, 2020
This paper presents the findings of climate change impact on a widespread human crisis due to a n... more This paper presents the findings of climate change impact on a widespread human crisis due to a natural occurrence, focusing on the so-called Little Ice Age period. The study is based on new non-linear econometrics tools. First, we reassessed the existence of a significant cooling period using outliers and structural break tests and a nonlinear Markov Switching with Levy process (MS Levy) methodology. We found evidence of the existence of such a period between 1560-1660 and 1675-1700. In addition, we showed that NAO teleconnection was probably one of the causes of this climate change. We then performed nonlinear econometrics and causality tests to reassess the links between climate shock and macroeconomic indicators. While the causal relationship between temperature and agricultural output (yields, production, price) is strongly robust, the association between climate and GDP identified by the MS Levy model does not reveal a clear causality link. Although the MS Levy approach is not relevant in this case, the causality tests indicate that social disturbance might also have been triggered by climate change, confirming the view of Parker (2013). These findings should inform current public policies, especially with regard to the strong capacity of climate to disrupt social and economic stability.
Social Science Research Network, 2020
This paper derives a sufficient condition for noncausality at all forecast horizons (infinitestep... more This paper derives a sufficient condition for noncausality at all forecast horizons (infinitestep noncausality). We propose a test procedure for this sufficient condition. Our procedure presents two main advantages. First, our infinite-step Granger causality analysis is conducted in a more general framework with respect to the procedures proposed in literature. Second, it involves only linear restrictions under the null, that can be tested by using standard F statistics. A simulation study shows that the proposed procedure has reasonable size and good power. Typically, one thousand or more observations are required to ensure that the test procedures perform reasonably well. These are typical sample sizes for financial time series applications. Here, we give a first example of possible applications by considering the Mixture Distribution Hypothesis in the Foreign Exchange Market.
Theoretical and Applied Climatology, Sep 1, 2001
A paper recently published in``Nature'' ®nds that there is suf®cient evidence to identify the eff... more A paper recently published in``Nature'' ®nds that there is suf®cient evidence to identify the effects of human activity on global temperature. The study is based on northern and southern hemispheres' time series temperature from 1865 to 1994 and the econometric technique applied is Granger causality analysis. In this note, we make some critical remarks on the conclusions of this study which seem to be rather inconsistent from a methodological point of view. It is shown that a more accurate application of Granger causality analysis to this problem may not allow the same strong and unambiguous conclusions.
In this paper, we show that the projected global temperature change from CMIP5 models is remarkab... more In this paper, we show that the projected global temperature change from CMIP5 models is remarkably similar to that obtained using simple regression models relating the global temperature to the atmospheric concentrations of CO2. This result is strengthened when we consider the projections obtained using the CMIP6 models.
Communications in Statistics, Aug 2, 2016
A characterization for the nullity of the cosine angle between two subspaces of a Hilbert Space i... more A characterization for the nullity of the cosine angle between two subspaces of a Hilbert Space is established. Given a time series x, we use this characterization in order to investigate the relationship between the notions of predictor space and distance between the information contained in the past and in the future of x. In particular, we prove that the predictor space of x coincides with the zero vector space {0} if and only if this distance achieves its maximum value.
Dall'econometria strutturale all'econometria delle serie storiche
Economía & lavoro: rivista quadrimestrale di politica economica, sociologia e relazioni industriali, 2009
La storia dell’econometria e stata caratterizzata da due importanti paradigmi teorici: l’economet... more La storia dell’econometria e stata caratterizzata da due importanti paradigmi teorici: l’econometria strutturale e l’econometria delle serie storiche. Oggi quest’ultima rappresenta il paradigma dominante. L’obiettivo di questo lavoro consiste nel ripercorre i principali passaggi che hanno portato a questo risultato.
Is a subspace containing a splitting subspace a splitting subspace?
Statistics & Probability Letters, Dec 1, 2008
ABSTRACT
Social Science Research Network, 2011
The nature of the trend in global and hemispheric temperatures
International Journal of Climatology, Jun 4, 2021
The aim of this note is to provide evidence about the existence or non‐existence of a stochastic ... more The aim of this note is to provide evidence about the existence or non‐existence of a stochastic trend in the global temperatures time series by using standard unit root tests. Three sets of data are considered in this paper: global, Northern Hemisphere and Southern Hemisphere monthly temperature anomalies. Our main finding is that there is not a stochastic trend in the temperatures time series and they are stationary around a deterministic trend.
The partial autocorrelation function of a first order non-invertible moving average process
Applied Economics Letters, 2002
In this paper an expression is obtained for the determinant of a particular patterned matrix. The... more In this paper an expression is obtained for the determinant of a particular patterned matrix. The result is then used to derive the partial autocorrelation function of a first order non-invertible moving average process. ... Let {Xt} be a first order moving average process defined by
Econometrics, Oct 15, 2017
The contribution of this paper is to investigate a particular form of lack of invariance of causa... more The contribution of this paper is to investigate a particular form of lack of invariance of causality statements to changes in the conditioning information sets. Consider a discrete-time three-dimensional stochastic process z = (x, y 1 , y 2). We want to study causality relationships between the variables in y = (y 1 , y 2) and x. Suppose that in a bivariate framework, we find that y 1 Granger causes x and y 2 Granger causes x, but these relationships vanish when the analysis is conducted in a trivariate framework. Thus, the causal links, established in a bivariate setting, seem to be spurious. Is this conclusion always correct? In this note, we show that the causal links, in the bivariate framework, might well not be 'genuinely' spurious: they could be reflecting causality from the vector y to x. Paradoxically, in this case, it is the non-causality in trivariate system that is misleading.
Econometrics, Jul 15, 2016
A distance between pairs of sets of autoregressive moving average (ARMA) processes is proposed. I... more A distance between pairs of sets of autoregressive moving average (ARMA) processes is proposed. Its main properties are discussed. The paper also shows how the proposed distance finds application in time series analysis. In particular it can be used to evaluate the distance between portfolios of ARMA models or the distance between vector autoregressive (VAR) models.
RePEc: Research Papers in Economics, 2020
This paper presents the findings of climate change impact on a widespread human crisis due to a n... more This paper presents the findings of climate change impact on a widespread human crisis due to a natural occurrence, focusing on the so-called Little Ice Age period. The study is based on new non-linear econometrics tools. First, we reassessed the existence of a significant cooling period using outliers and structural break tests and a nonlinear Markov Switching with Levy process (MS Levy) methodology. We found evidence of the existence of such a period between 1560-1660 and 1675-1700. In addition, we showed that NAO teleconnection was probably one of the causes of this climate change. We then performed nonlinear econometrics and causality tests to reassess the links between climate shock and macroeconomic indicators. While the causal relationship between temperature and agricultural output (yields, production, price) is strongly robust, the association between climate and GDP identified by the MS Levy model does not reveal a clear causality link. Although the MS Levy approach is not relevant in this case, the causality tests indicate that social disturbance might also have been triggered by climate change, confirming the view of Parker (2013). These findings should inform current public policies, especially with regard to the strong capacity of climate to disrupt social and economic stability.
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Papers by Umberto Triacca