Global mean surface temperature has been increasing in response to growing greenhouse gas concentrations (IPCC, 2021). While Earth is getting warmer overall, regions that differ in local geographical features experience unequal increases in temperature. In this paper, we develop a dynamic...

A well known property of the Beveridge Nelson decomposition is that the innovations in the permanent and transitory components are perfectly correlated. We use a single source of error state space model to exploit this property and perform a Beveridge Nelson decomposition. The single source of...

Given that it is quite impractical to use standard model selection criteria in a nonlinear modeling context, the builders of nonlinear models often choose lag length by setting it equal to the lag length chosen for a linear autoregression of the data. This paper studies the performance of this...