In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.

Forecasting, Structural Time Series Models and the Kalman Filter

https://steadystate.org/wp-content/uploads/Stern_KuznetsCurve.pdf

The Rise and Fall of the Environmental Kuznets Curve

https://mimoza.marmara.edu.tr/~mtekce/Dinda_2004.pdf

Environmental Kuznets Curve Hypothesis: A Survey

This paper studies how the Hodrick-Prescott filter should be adjusted when changing the frequency of observations. It complements the results of Baxter and King (1999) with an analytical analysis, demonstrating that the filter parameter should be adjusted by multiplying it with the fourth power of the observation frequency ratios. This yields an HP parameter value of 6.25 for annual data given a value of 1600 for quarterly data. The relevance of the suggestion is illustrated empirically.

/pdf/on-adjusting-the-hodrick-prescott-filter-for-the-frequency-2mm753qbpp.pdf

On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations

As renewed international efforts are needed to curb greenhouse gas emissions, the livestock sector can contribute its part. An important emitter of greenhouse gas, it also has the potential to significantly reduce its emissions. This report provides a unique global assessment of the magnitude, the sources and pathways of emissions from different livestock production systems and supply chains. Relying on life cycle assessment, statistical analysis and scenario building, it also provides estimates of the sector’s mitigation potential and identifies concrete options to reduce emissions. The report is a useful resource for stakeholders from livestock producers to policy-makers, researchers and civil society representatives, which also intends to inform the public debate on the role of livestock supply chains in climate change and possible solution.

Tackling climate change through livestock : a global assessment of emissions and mitigation opportunities

Natural Resources and Environmental Economics, provides comprehensive and contemporary analysis of the major areas of natural resource and environmental economics.

/pdf/natural-resource-and-environmental-economics-opsy3f5eyk.pdf

Natural resource and environmental economics

The Environmental Kuznets Curve (EKC) hypothesis - an inverted U-shape relation between various indicators of environmental degradation and income per capita - has become one of the 'stylised facts' of environmental and resource economics. This is despite considerable criticism on both theoretical and empirical grounds. Cointegration analysis can be used to test the validity of such stylised facts when the data involved contain stochastic trends. In the present paper, we use cointegration analysis to test the EKC hypothesis using a panel dataset of sulfur emissions and GDP data for 74 countries over a span of 31 years. We find that the data is stochastically trending in the time-series dimension. Given this, and interpreting the EKC as a long run equilibrium relationship, support for the hypothesis requires that an appropriate model cointegrates and that sulfur emissions are a concave function of income. Individual and panel cointegration tests cast doubt on the general applicability of the hypothesised relationship. Even when we find cointegration, many of the relationships for individual countries are not concave. The results show that the EKC is a problematic concept, at least in the case of sulfur emissions.

Evidence from Panel Unit Root and Cointegration Tests that the Environmental Kuznets Curve does not Exist

he Environmental Kuznets Curve (EKC) hypothesis - an inverted U-shape relation between various indicators of environmental degradation and income per capita - has become one of the 'stylised facts' of environmental and resource economics. This is despite considerable criticism on both theoretical and empirical grounds. Cointegration analysis can be used to test the validity of such stylised facts when the data involved contain stochastic trends. In the present paper, we use cointegration analysis to test the EKC hypothesis using a panel dataset of sulfur emissions and GDP data for 74 countries over a span of 31 years. We find that the data is stochastically trending in the time-series dimension. Given this, and interpreting the EKC as a long run equilibrium relationship, support for the hypothesis requires that an appropriate model cointegrates and that sulfur emissions are a concave function of income. Individual and panel cointegration tests cast doubt on the general applicability of the hypothesised relationship. Even when we find cointegration, many of the relationships for individual countries are not concave. The results show that the EKC is a problematic concept, at least in the case of sulfur emissions.

https://onlinelibrary.wiley.com/doi/pdf/10.1111/1467-8489.00216

Evidence from panel unit root and cointegration tests that the environmental Kuznets curve does not exist

An overview of the cointegration approach to econometric
specification and estimation is provided. A non‐technical approach is
adopted, and is intended to serve as an entry into this important new
literature for the reader with no background knowledge of the subject
but with some limited knowledge of econometrics. Particular emphases are
given to the rationale for using cointegration techniques in the
estimation of economic relationships, to providing intuitive
explanations of the concepts and techniques, and to demonstrating their
applications in practice. Reference is made throughout to other articles
which explain particular methods or recent developments more formally
and fully than is possible here. Finally, a simple application of
cointegration techniques to the estimation of the consumption function
is provided.

Cointegration: An Introduction to the Literature

Previous papers by one of the authors, Perman (1989, 1991), have proved popular amongst applied economists seeking an introduction to the new econometrics of unit roots and cointegration. The aim of the present paper is, as before, to provide a comprehensive overview of the field in a manner which minimises the technical knowledge required of the reader and which offers intuitive explanations wherever possible. Other useful surveys, at a slightly higher technical level, include the special issues of the Oxford Bulletin of Economics and Statistics (March 1986, August 1992), Dolado et al. (1990) and Campbell and Perron (1991). In this introduction we motivate the study of unit roots and cointegration, and outline the contents of the rest of the chapter.

Roger Perman

Papers

Natural resource and environmental economics

Evidence from Panel Unit Root and Cointegration Tests that the Environmental Kuznets Curve does not Exist

Evidence from panel unit root and cointegration tests that the environmental Kuznets curve does not exist

Cointegration: An Introduction to the Literature

Unit Roots and Cointegration for the Economist