High-Dimensional Causality for Climatic Attribution

Abstract

In this paper we test for Granger causality in high-dimensional vector autoregressive models (VARs) to disentangle and interpret the complex causal chains linking radiative forcings and global temperatures. By allowing for high dimensionality in the model we can enrich the information set with all relevant natural and anthropogenic forcing variables to obtain reliable causal relations. These variables have mostly been investigated in an aggregated form or in separate models in the previous literature. Additionally, our framework allows to ignore the order of integration of the variables and to directly estimate the VAR in levels, thus avoiding accumulating biases coming from unit-root and cointegration tests. This is of particular appeal for climate time series which are well known to contain stochastic trends as well as yielding long memory. We are thus able to display the causal networks linking radiative forcings to global temperatures but also to causally connect radiative forcings among themselves, therefore allowing for a careful reconstruction of a timeline of causal effects among forcings. The robustness of our proposed procedure makes it an important tool for policy evaluation in tackling global climate change.

Penalisation Methods in Fitting High‐Dimensional Cointegrated Vector Autoregressive Models: A Review

“…Then the standard linear regression models may lead to spurious regression (Granger & Newbold, 1974) and cointegration analysis is the right method of statistical inference. Therefore, cointegration analysis is a popular method in econometrics and is also used in other fields, such as in biology (Dahlhaus et al, 2018;Østergaard et al, 2017), agriculture (Zapata & Gil, 1999) or climatology (Schmith et al, 2012;Friedrich et al, 2023). Recently, attempts to fit cointegrated VAR models in high-dimensional settings started appearing, such as for big data in macroeconomics and finance (Wilms & Croux, 2016;Smeekes & Wijler, 2020;Chen & Schienle, 2022), EEG data (Levakova et al, 2022), phase synchronisation (Østergaard et al, 2022) and in structural health monitoring problems (Cross et al, 2011;Mousavi & Gandomi, 2021).…”