Abstract
This study examines the time-series behaviour of \(\hbox {CO}_{2}\) emissions within a long-memory approach with non-linear trends and structural breaks, using a long span of data for the BRICS and G7 countries. The main results show significant differences both in the degree of integration and the non-linearities among the analysed countries. Thus, in most of the cases, the \(\hbox {CO}_{2}\) emissions series display orders of integration equal to or higher than 1, implying that there are permanent effects of shocks for \(\hbox {CO}_{2}\) emissions. The only exceptions are Germany, the US and the UK, where shocks will have transitory effects. With respect to the non-linearities, more evidence of non-linear behaviour was obtained for the G7 countries, especially in the cases of the US, the UK, Germany and France. Partial evidence was also found in Canada and India. The significantly different results obtained for emerging and developed economies have important policy implications.
This is a preview of subscription content, log in via an institution to check access.
Similar content being viewed by others
Notes
See Cuestas and Gil-Alana (2016).
The unit root tests that we conducted include the Augmented Dickey and Fuller (ADF 1979), the GLS-de-trended Dickey Fuller (Elliott et al. 1996), Phillips and Perron (1988), Kwiatkowski et al. (1992) and Ng and Perron (2001). Then we conducted three unit root tests with one (Zivot and Andrews 1992) and two (Lumsdaine and Papell 1997; Lee and Strazicich 2003) structural breaks. Complete details of these results are available on request from the authors. Some discussion of the relevant results can also be found in Footnote 3.
In general, evidence from the standard unit root tests with no breaks was mixed. However, given the long samples and the possibility of structural breaks and non-linearities (as indicated in our fractional integration model estimations), not much reliance can be placed on the standard unit root tests. If we base our inferences on the most powerful of the unit root tests with breaks, i.e., the Lee and Strazicich (2003) test, among the alternatives considered, we observe (1) For the BRICS, \(\hbox {CO}_{2}\) emissions in Russia are stationary; (2) for the G7, Germany and UK they are stationary—a result in line with the fractional integration tests.
References
Aldy JE (2006) Per capita carbon dioxide emissions: convergence or divergence. Environ Resour Econ 33:533–555
Barassi MR, Cole MA, Elliott RJR (2008) Stochastic divergence or convergence of per capita carbon dioxide emissions. Environ Resour Econ 40:121–137
Barassi MR, Cole MA, Elliott RJR (2011) The stochastic convergence of \(\text{ CO }_{2}\) emissions. Environ Resour Econ 49:367–385
Bierens HJ (1997) Testing the unit root with drift hypothesis against nonlinear trend stationarity with an application to the US price level and interest rate. J Econ 81:29–64
Chistidou M, Panagiotidis T, Sharma A (2013) On the stationarity of per capita carbon dioxide emissions over a century. Econ Model 33:918–925
Cuestas JC, Gil-Alana LA (2016) Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials. Stud Nonlinear Dyn Econom 20:57–74
Dahlhaus R (1989) Efficient parameter estimation for self-similar process. Ann Stat 17:1749–1766
Dickey DA, Fuller WA (1979) Distribution of the estimators for autoregressive time series with a unit root. J Am Stat Soc 75:427–431
Elliott G, Rothenberg TJ, Stock JH (1996) Efficient tests for an autoregressive unit root. Econometrica 64:813–836
Ezcurra R (2007) Is there cross-country convergence in carbon dioxide emissions. Energy Policy 35:1363–1372
Gil-Alana LA (2008) Fractional integration and structural breaks at unknown periods of time. J Time Ser Anal 29:163–185
Gil-Alana LA, Perez de Gracia F, Gupta R (2015) Modelling persistence of carbon emission allowance prices. University of Pretoria, Department of Economics Working Paper Series 2015–15
Hamming RW (1973) Numerical methods for scientists and engineers. McGraw-Hill, New York
Heil MT, Selden TM (1999) Panel stationarity with structural breaks: carbon emissions and GDP. Appl Econ Lett 6:223–225
Kwiatkowski D, Phillips PCB, Schmidt P, Shin Y (1992) Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? J Econ 54:159–178
Lanne M, Liski M (2004) Trends and breaks in per capita carbon dioxide emissions, 1870–2028. Energy J 25:41–66
Lee CC, Chang CP (2009) Stochastic convergence of per capita carbon dioxide emissions and multiple structural breaks in OECD countries. Econ Model 26:1375–1381
Lee J, Strazicich MC (2003) Minimum Lagrange multiplier unit root test with two structural breaks. Rev Econ Stat 85:1082–1089
Lumsdaine R, Papell D (1997) Multiple trend breaks and the unit root hypothesis. Rev Econ Stat 79:212–218
McKitrick R, Strazicich MC (2005) Stationarity of global per capita carbon dioxide emissions: implications for global warming scenarios. Working Papers 05–03, Department of Economics, Appalachian State University
Musolesi A, Mazzanti M (2014) Nonlinearity, heterogeneity and unobserved effects in the carbon dioxide emissions-economic development relation for advanced countries. Stud Nonlinear Dyn Econ 18:1–21
Ng S, Perron P (2001) Lag length selection and the construction of unit root tests with good size and power. Econometrica 69:1519–1554
Nguyen P (2005) Distribution dynamics of \(\text{ CO }_{2}\) emissions. Environ Resour Econ 32:495–508
Ordás C, Grether JM (2011) Convergence in per capita \(\text{ CO }_{2}\) emissions: a robust distributional approach. Resour Energy Econ 33:637–665
Panopoulou E, Pantelidis T (2009) Club convergence in carbon dioxide emissions. Environ Resour Econ 44:47–70
Phillips PC, Perron P (1988) Testing for a unit root in time series regression. Biometrika 75:335–346
Robinson PM (1994) Efficient tests of nonstationary hypotheses. J Am Stat Assoc 89:1420–1437
Romero-Avila D (2008) Convergence in carbon dioxide emissions among industrialised countries revisited. Energy Econ 30:2265–2282
Strazicich MC, List JA (2003) Are \(\text{ CO }_{2}\) emissions levels converging among industrial countries? Environ Resour Econ 24:263–271
Smyth GK (1998) Polynomial aproximation. Wiley, Chichester
Tomasevic NM, Stanivuk T (2009) Regression analysis and aproximation by means of Chebyshev polynomial. Informatologia 42:166–172
World Resources Institute (2014) Global emissions of \(\text{ CO }_{2}\) from fossil fuels: 1900–2004. http://www.wri.org/resources/charts-graphs/global-emissions-co2-fossil-fuels-1900-2004
Zivot E, Andrews DWK (1992) Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. J Bus Econ Stat 10:251–270
Acknowledgments
The first-named author gratefully acknowledges financial support from the Ministerio de Economía y Competitividad (ECO2014-55236). Juncal Cuñado gratefully acknowledges financial support from the Ministerio de Economía y Competitividad (ECO2014-55496). Comments from the Editor and two anonymous referees are gratefully acknowledged.
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
About this article
Cite this article
Gil-Alana, L.A., Cunado, J. & Gupta, R. Persistence, Mean-Reversion and Non-linearities in \(\hbox {CO2}\) Emissions: Evidence from the BRICS and G7 Countries. Environ Resource Econ 67, 869–883 (2017). https://doi.org/10.1007/s10640-016-0009-3
Accepted:
Published:
Issue Date:
DOI: https://doi.org/10.1007/s10640-016-0009-3