Climatic Change (2010) 101:415426

DOI 10.1007/s10584-010-9801-1

Skinning a cat: alternative models of representing

temperature trends
An editorial comment
Terence C. Mills

Received: 17 November 2009 / Accepted: 2 January 2010 / Published online: 16 April 2010
Springer Science+Business Media B.V. 2010

1 Introduction
Two recent papers in Climatic Change (Gay-Garcia et al. 2009; Kaufmann et al. 2010)
consider how observed global and hemispheric temperature series may best be modelled. Gay-Garcia et al. focus on a broken trend model with stationary disturbances
of the type that has become popular in econometrics since Perron (1989). They
conclude that the data-generating process of the temperature series analyzed can
be assumed as trend stationary with only one permanent shock occurring at different
dates and of different magnitudes. Cointegration, statistical tests and inferences that
are constructed assuming that temperatures are unit root processes are not reliable
(Gay-Garcia et al. 2009, page 342).1 Such a model, claim Gay-Garcia et al., implies
that, apart from the single permanent shock, present or past fluctuations cannot alter
the long-run path of temperatures, long-run forecast errors have bounded variance,
and the long-run forecasts themselves are dominated by external forcing factors such
as orbital geometry, solar irradiance, greenhouse gas concentrations and changes
in other radiative forcing variables. The stochastic stationary component is then
interpreted as representing short term natural variability.
Kaufmann et al. (2010) take Gay-Garcia et al. to task by comparing the insample forecast performance of the breaking trend model with that of an error
correction model embodying a cointegrating relationship between temperature and
radiative forcing, finding that the latter model provides better forecasts on using
various forecast comparison statistics. They also show that simulations from an error
correction model can generate similar temperature realisations to those that would
be generated by a breaking trend model, but that the converse does not hold in that

1 See

Perron (2006) for a recent and authoritative survey of the structural break literature.

T. C. Mills (B)
Department of Economics, Loughborough University, Loughborough, Leics, LE11 3TU, UK
e-mail: t.c.mills@lboro.ac.uk

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Climatic Change (2010) 101:415426

it appears impossible to represent the time series for radiative forcing as a trend
stationary process with a one-time permanent break.
Kaufmann et al. conclude that the adage there are many ways to skin a cat
is applicable to statistical models of surface temperature and I would certainly
agree with this.2 Interestingly, there is a long history of meteorological time series
being analysed by statisticians, often being used as experimental series on which to
illustrate new models and techniques. The most famous of these series is undoubtedly
the sunspot index, first investigated empirically by Newcomb (1901) and then by
Schuster (1906) using periodogram analysis, a technique that was extended by
Larmor and Yamaga (1917). Yule (1927) later used the series to illustrate his
autoregressive scheme, which was subsequently generalised nonlinearly by Moran
(1954): later contributions to the modelling and prediction of the sunspot index have
been provided by, for example, Granger (1957), Craddock (1967), Morris (1977) and
Yoon (2006).
Consistent with this historical perspective, over the last decade I myself have
analysed various temperature series using a variety of statistical models, usually
with the aim of extracting the trend component. For example, Harvey and Mills
(2001, 2002) employ cointegration techniques and smooth transitions to model
structural shifts in global and hemispheric temperatures; Harvey and Mills (2003)
and Mills (2009a) consider nonlinear smoothing filters; Mills (2004) uses structural
time series models; Mills (2007a) looks at whether changes in a long-run proxy
temperature series were a consequence of level shifts or a long memory process; Mills
(2007b) reconsiders the classical approach of modelling the current trend by local
polynomials; and Mills (2006) provides a comparison of various models for assessing
current temperature trends.
Consequently, I wish here to compare and contrast the models of Gay-Garcia
et al. and Kaufmann et al. with that of an alternative, a structural time series model
that extends that used in Mills (2004). However, rather than using the same series
employed in these two papers, I shall extend the analysis somewhat by modelling
the monthly, rather than the annual, global temperature series observed over the
slightly longer time period 1850 to 2007 (see Brohan et al. 2006: data available from
the Hadley Centre).

2 A structural time series model for monthly global temperatures

The first generation of structural time series models were employed to model
climatological series by Visser and Molnaar (1995), Stern and Kaufmann (2000) and
Mills (2004). A second generation of models have been proposed by Harvey and
Trimbur (2003) and Trimbur (2006) that allow for more flexible stochastic trends
and cycles and may include additional components. These models decompose an

2 This

adage, meaning that there are many different ways of doing the same thing, seems first to have
been used in John Rays collection of English proverbs as far back as 1678 and certainly appeared in
novels by Charles Kingsley, Seba Smith and Mark Twain in the nineteenth century: see, for example,
Speake (1998).

Climatic Change (2010) 101:415426

417

observed time series yt into a set of unobserved components representing different

features of the evolution of the series and may be written as
yt = t + t + t + t + t ,

t = 1, . . . , T

(1)

In (1) t is the trend, t is the seasonal, t is the cycle, t is a stationary autoregressive

component, and t is the irregular, taken to be normal and independently distributed
with zero mean and variance 2 , which we denote as t NID (0, 2 ).
The trend component is defined as


(k)
+ t t NID 0, 2
t = t1 + t1
( j)

( j)

( j1)

= t1 + t

j = 1, . . . , k

(2)



where t(0) = t NID 0, 2 . The kth-order stochastic trend t is thus integrated
of order k + 1 and becomes smoother as k increases. When 2 = 2 = 0 t reduces
to a polynomial trend of order k: t = c0 + c1 t + . . . + ck tk . For example, if k = 1,
(1)
t(1) = t1
= and t = t1 + , so that t = 0 + t = c0 + c1 t. If, further, = 0,
t = c0 and the trend is constant.
The seasonal component takes an evolving trigonometric form. With monthly
data, this component is given by
t =

6
j=1

j,t

where each j,t , j = 1, ..., 6, is generated by

 
 
 


j,t1
j,t
j,t
cos j sin j
=
+
j = 1, . . . , 5

j,t
j,t1
j,t
sin j cos j

(3)
6,t = cos 6 6,t1 + 6,t



Here j = 2 j 12 is the frequency (in radians) and j,t NID 0, 2 and j,t


NID 0, 2 are mutually uncorrelated disturbances having a common variance. The

component j,t
simply allows the seasonal to be modelled as a stochastic combination
of sine and cosine waves and its interpretation is not particularly important. The
seasonal component is deterministic if 2 = 0 and it will then evolve as a regular
cycle with an annual period.
The cyclical component is defined by incorporating features of both (2) and (3):



 
  
1,t
1,t1
cos c sin c

+ t
(4)

1,t
1,t1
sin c cos c
t


i,t
i,t


=

cos c sin c
sin c cos c

 

 

i,t1
i1,t1
+

i,t1
i1,t1

i = 2, . . . , n

(5)

This is known as an nth-order stochastic cycle, with n,t appearing as t in

such
 (1):
2
a cycle is thus
driven
by
shocks
that
are
themselves
periodic.

and

NID
0,



t NID 0, 2 are mutually uncorrelated disturbances assumed to have common
variance, 0 < 1 is the damping factor of the cycle, and 0 c is the frequency in radians, so that the period of the cycle is 2/c . Equation 4 has a pair

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Climatic Change (2010) 101:415426

of complex conjugate roots exp(ic ) with modulus , and is therefore stationary

for || < 1. Since the addition of each term in (5) introduces another pair of such
roots into the model, the overall condition for stationarity remains the same, so that
the relevant range for the damping factor is 0 < < 1. The autocorrelation function
of the cycle can be shown to be a damped cosine wave with the damping pattern
depending on both and n.
The autoregressive component can be specified generally as an AR(2) process


t = (1 + 2 ) t1 1 2 t2 + t
t NID 0, 2
with stationarity being ensured if 1 < 1 , 2 < 1. If 2 = 0 t will be AR(1), and will
then be the limiting case of a first-order stochastic cycle when c = 0 or . Finally,
it is assumed that the disturbances driving each of the components are mutually
uncorrelated.
The model can be estimated by casting it into state space form (SSF), employing
the Kalman filter, and using various filtering and smoothing algorithms and nonlinear
optimising routines to estimate the parameters and components and to provide
standard errors and confidence intervals for them (see Koopman et al. 1999). These
routines are available in the commercial software package STAMP: see Koopman
et al. (2006) for details of the estimation procedures, filtering and smoothing routines,
and discussion of the supplementary diagnostic tests and graphical representations of
the components and related statistics.
The smoothed estimates of each of the components can generically be expressed
as two-sided weighted moving averages of the form, taking the trend as an example,
 j=tT
t|T =
w j,t yt j
j=t1

The patterns taken by the weights w j,t provide useful information and help the user
to understand what a particular model actually does and how it compares with other
models. The weights may be calculated by the technique developed in Koopman
and Harvey (2003) and they automatically adjust as the estimator moves through the
sample: again the algorithms for computing these weights are provided in STAMP.
Adjusting the weights in this fashion therefore provides a solution to the problem
of how to extend a series so that a two-sided filter can be used right up to the end of
the sample: see, for example, Mann (2004) and Soon et al. (2004).

oC

1.00

Deviations from 1960-1990 average

Fig. 1 Monthly global

temperatures 18502007 with
fitted segmented trend with
break at December 1977

0.75
0.50
0.25
0.00
-0.25
-0.50
-0.75
-1.00
1850

1875

1900

1925

1950

1975

2000

Climatic Change (2010) 101:415426

419

Table 1 Fitted breaking trend model for monthly global temperatures 18502007
yt = 0.435 + 0.00023t + 0.00136 DTt + y t
(0.037)

(0.00004)

(0.00024)

y t = 0.475 y t1 + 0.160 y t2 + 0.234 y t3 + et 0.209 et3

(0.023)

DTt = t Tb

(0.025)

(0.030)

(0.033)

where Tb is the time of the break (December 1977)

Figures in parentheses are standard errors

Figure 1 shows the monthly global temperature series from 1850 to 2007, which is
seen to be characterised by a slow moving trend buried in relatively volatile seasonal
and high frequency components. For purposes of comparison, a fitted segmented
trend of the type estimated by Gay-Garcia et al. (2009) with a break at December
1977 has been superimposed. This has (annualised) slopes of 0.0027 C before the
break and 0.019 C post-break, reasonably similar to those estimated by Gay-Garcia
et al. using annual data over a shorter sample (18702004). Table 1 shows the model
that was actually fitted, which requires a fairly complicated noise structure to model
the seasonal and high frequency components. The largest autoregressive root of the
noise structure is estimated to be 0.92, suggesting near non-stationarity and strong
persistence in global temperatures.
Table 2 reports the structural model fitted to the series. This specification was selected on the basis of parsimony (higher order trends and cycles did not significantly
improve the goodness of fit, as measured by the likelihood) and acceptable residual
diagnostics (no remaining autocorrelation in the residuals and occasional outliers

Table 2 Fitted structural model for monthly global temperatures, 18502007

yt = t + t + t + t + t
Trend: k = 1
t = t1 + t
=0
= 0.0123
Seasonal:



 
j,t
j,t1
cos j
sin j
=

j,t
j,t1
sin j cos j

j = 2 j 12
Cycle: n = 1 



  
1,t
1,t1
cos c
sin c

=
+ t

1,t
1,t1
t
sin c cos c
= 0.943
2 / c = 59.4
c = 0.106
(1) = 0.0947
(1) = 0.943 cos 0.106
Autoregressive: AR(1)
t = 1 t1 + t
1 = 0.480
= 0.0823
Irregular
= 0.0690

2 = 0
0.0100 0.0151
j = 1,..., 5

6,t = cos 6 6,t1

j = 1,..., 6

2 = 0

0.923 0.959
49.4 2 / c 71.5
0.088 c 0.127
0.0829 (1) 0.1082

= 0.0314

0.359 1 0.603
0.0740 1 0.0914
0.0607 0.0784

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Climatic Change (2010) 101:415426

only appearing in the irregular component and not in the innovations to the trend).
This model has several interesting features. First, the trend component is a simple
driftless random walk, as both the variance of the slope, and the slope itself, are
insignificantly different from zero. The seasonal component has a zero innovation
variance so that it has a deterministic pattern, being constant from year to year, and
hence has not evolved throughout the century and a half of the sample period. There
is a first-order cycle having a period of almost 5 years (59.4 months) with a standard

0.5

0.0

-0.5

-1.0
1850

1875

1900

1925

1950

1975

2000

1950

1975

2000

1950

1975

2000

Deviations from 1960-1990 average

(a) Trend
.4
.3
.2
.1
.0
-.1
-.2
1850

1875

1900

1925

(b) Cycle
.6
.4
.2
.0
-.2
-.4
-.6
1850

1875

1900

1925

(c) AR(1) plus irregular

Fig. 2 ac Components of monthly global temperatures 18502007

Climatic Change (2010) 101:415426

Fig. 3 Annual seasonal
pattern for monthly global
temperatures

421

.06
.04
.02
.00
-.02
-.04
-.06
1

10

11

12

Months

error of approximately one year, and an AR(1) component with parameter 1 = 0.48.
All the parameters of the model are estimated with a good degree of precision. The
trend, cycle and AR(1) plus irregular components are shown in Fig. 2, while the
deterministic annual pattern of seasonality is shown in Fig. 3. The trend and cycle
component weights for the centre (December 1928) and end of the sample are shown
in Fig. 4.
The trend component is by no means smoothas befits a driftless random walk
but the warming trends of the first forty years and the last 25 years of the twentieth
century are clearly apparent. The cycle, although clearly stochastic, is nevertheless
fairly regular with a stable amplitude (at least after 1880). The short run, nonperiodic component is quite volatile during the first 30 years of the sample but more
homogeneous thereafter.
The random walk nature of the trend imparts a sharp decline in the pattern of the
trend weights: at the end of the sample, for example, the weights tail off quickly over
6 months, so that the current trend reacts quickly to developments in the observed
temperature record. Indeed, the trend has shown a marked levelling off since 2003
with a small decline since reaching its maximum value of 0.431 in April 2005. Because
the trend is a driftless random walk, (deseasonalised) long run forecasts will be
constant at the (filtered) 2007.12 value of 0.417, although the associated forecast
standard error will increase with the forecast horizon: by the end of 2017 this is
estimated to be 0.2.

3 Sensitivity analysis
The driftless random walk trend imposes a constant forecast on the global temperature series, thus removing the possibility of future global warming (or, indeed,
future global cooling) from the forecasts. This is in stark contrast to projections
from the models of Gay-Garcia et al. (2009) and Kaufmann et al. (2010) and from
those of coupled atmospheric-ocean general circulation models. For example, the
Hadley Centres HadCM2 and HadCM3 models, using a business as usual scenario
that assumes mid-range economic growth but no measures to reduce greenhousegas emissions, project global temperature increases by 2100 of 3.67 C and 3.55 C
respectively. Can such an increase in global temperatures be predicted by structural
models fitted to the observed record of global temperatures?

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Climatic Change (2010) 101:415426

.03

.02

.01

.00
1922

1924

1926

1928

1930

1932

1934

1936

1932

1934

1936

2005

2006

2007

2005

2006

2007

Trend weights
.16
.12
.08
.04
.00
-.04
1922

1924

1926

1928

1930

Cycle weights

(a)
.12
.10
.08
.06
.04
.02
.00
2000

2001

2002

2003

2004

Trend weights
.20
.15
.10
.05
.00
-.05
2000

2001

2002

2003

2004

Cycle weights

(b)
Fig. 4 Weight functions for trend and cycle components at centre and end of sample. a Component
weights for December 1928. b Component weights for December 2007

Climatic Change (2010) 101:415426

423

Since such an increase can only be delivered by the trend component, the
specifications of the seasonal, cyclical and autoregressive components were fixed at
those selected above, but the order of the trend component was allowed to take

values of k = 1,2,3,4 with no restrictions on variances. The estimated slopes ,

and log-likelihood of the particular
associated root mean squared errors, rmse(),
model, L, are shown below.
k
1
2
3
4

0.00043
0.00107
0.00151
0.00149

rmse()
0.00027
0.00046
0.00081
0.00111

L
3995.7
3976.6
3961.3
3930.8

The largest slope estimate of = 0.00151 delivers an increase in temperatures of

0.00151 12 93 = 1.68 C by 2100. To deliver an increase of 3.55 C would require
to be 0.00318. This would lie above the upper bound of a 95% confidence interval
for calculated from a model (with k = 3) that provides a significantly inferior fit to
the model reported in Table 2, whose log-likelihood is 4003.1.
Can the breaking trend model of Table 1 deliver an increase in temperatures
comparable to these general circulation models? The corresponding calculation is
(0.00023 + 0.00136) 12 93 = 1.77 C, which is accompanied by a standard error
of 0.25 C, so that an increase of 3.55 C lies way outside any conventionally calculated
confidence interval.
These long-run forecasts may also be compared to the implied forecasts from the
approach of Kaufmann et al. (2006a, b, 2010). In Mills (2009b), the temperature sensitivity to a doubling of radiative forcing estimated from a cointegrating relationship
was 2.16 0.44 C, which was similar to that found in Kaufmann et al. (2006a).
This temperature sensitivity is regarded as being consistent with the transient
temperature response from a simulated climate model, defined as the temperature
change observed at the point when the atmospheric concentration of carbon dioxide
has doubled in a climate model simulation in which concentrations increase by
1% per annum compounded over seventy years (1.0170 2: see Kaufmann et al.
2006b). As this was estimated on a data set ending in 2000, we may compare the
sensitivity with the forecast for 2070 calculated from the two time series models.
For the breaking trend model we calculate a 95% forecast interval to be 1.20
0.50 C, considerably below that from the cointegrating relationship. Even the lower
temperature sensitivity bound of 1.72 C looks out of reach for all but a seriously
mis-specified structural model, as this would require a trend slope estimate of =
0.00228.

4 Conclusions
This comment has focused on structural models of temperature series, in contrast
to the breaking trend and cointegration/error correction models considered by GayGarcia et al. (2009) and Kaufmann et al. (2010). Structural models offer an integrated
approach to the estimation of unobserved components in an observed time series.
Appropriate models may be selected on the basis of acceptability of statistical fit,
parameters may be estimated and accompanied with measures of precision, and

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Climatic Change (2010) 101:415426

components may be calculated using weighting schemes that depend on the choice
of model and which naturally adapt to the information contained in the sample. The
entire modelling process may be performed using commercially available software
which enables replication and comparison of models to be undertaken, a problem
that has bedevilled some comparisons in the past.
While a number of interesting features of the monthly global temperature series
have been uncovered by fitting structural models, the trend component is likely to
be of most interest, as this naturally features in debates concerning global warming.
The trend component is generated as a random walk process with no drift, so that
a pronounced warming trend cannot be forecast. Indeed, sensitivity analysis shows
that, within this class of model, it is almost impossible to deliver an increase in trend
temperatures over the twenty-first century that is consistent with that projected by
conventional coupled atmospheric-ocean general circulation models: to do so would
require choosing ill-fitting models statistically dominated by simpler specifications
and then imposing a value on the slope parameter that, on statistical grounds, is
highly unlikely. A similar, if less extreme, conclusion may be arrived at from a
sensitivity analysis of the breaking trend model, although here, of course, some
degree of global warming is forecast. In contrast, cointegration/error correction
models, when supplemented with the assumption of a 1% annual increase in radiative
forcing (equivalent to a doubling over 70 years), produce long-range forecasts much
more in keeping with those from coupled general circulation models.
Given these alternative models of observed temperature seriesand from the
references given above, several others could be offeredthere is no doubt that,
in this area, there are indeed many ways to skin the proverbial cat. Which of the
alternatives should be chosen? Do you adopt a carefully specified univariate time
series model that, because of its property of adapting quickly to current movements
in the series, essentially is unable to deliver any increase in forecasted temperatures;
do you choose a simpler trend break model in which the breaks are a consequence of
rare and large changes in key external forcing factors, as proposed by Gay-Garcia
et al. (2009); or do you explicitly model the long-run, cointegrating relationship
between temperatures and radiative forcing that is based on the hypothesis that
changes in radiative forcing , influenced in part by human activity, generate changes
in temperatures (Kaufmann et al. 2010). Statistical arguments alone are unlikely
to settle issues such as these, but neither are appeals to only physical models or
the output of computer simulations of coupled general circulation models. In such
circumstances it would appear that, to quote another ageless proverb, you pays your
money and you takes your choice.3 Indeed, it could be argued that such a proverb
is particularly apposite given the ongoing debate concerning the potential costs of
combating global warming and climate change, the most notable recent protagonists
being Stern (2007) and his reviewers, for example, Nordhaus (2007), Tol and Yohe
(2006) and Weitzman (2007).

3 This

phrase, whose meaning should be clear, was used by Mark Twain in Huckleberry Finn but was
first recorded in the January 1846 edition of the British magazine Punch, where it appeared as a
caption to a cartoon: see Speake (1998).

Climatic Change (2010) 101:415426

425

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