Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/223474 
Year of Publication: 
2020
Series/Report no.: 
CESifo Working Paper No. 8402
Publisher: 
Center for Economic Studies and Ifo Institute (CESifo), Munich
Abstract: 
This paper examines the statistical properties of daily PM10 in eight European capitals (Amsterdam, Berlin, Brussels, Helsinki, London, Luxembourg, Madrid and Paris) over the period 2014-2020 by applying a fractional integration framework; this is more general than the standard approach based on the classical dichotomy between I(0) stationary and I(1) non-stationary series used in most other studies on air pollutants. All series are found to be characterised by long memory and fractional integration, with orders of integration in the range (0, 1), which implies that mean reversion occurs and shocks do not have permanent effects. Persistence is highest in the case of Brussels, Amsterdam and London. The presence of negative trends in Brussels, Paris and Berlin indicates some degree of success in reducing pollution in these capitals.
Subjects: 
fractional integration
long memory
persistence
trends
air pollutants
PM10
JEL: 
C22
Q53
Document Type: 
Working Paper
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