Time trends and persistence in PM(2.5) in 20 megacities: evidence for the time period 2018–2020

The degree of persistence in daily data for PM(2.5) in 20 relevant megacities such as Bangkok, Beijing, Mumbai, Calcutta, Canton, Dhaka, Delhi, Jakarta, London, Los Angeles, Mexico City, Moscow, New York, Osaka. Paris, Sao Paulo, Seoul, Shanghai, Tientsin, and Tokyo is examined in this work. The analysis developed is based on fractional integration techniques. Specifically, the differentiation parameter is used to measure the degree of persistence in the series under study, which collects data on daily measurements carried out from January 1, 2018, to December 31, 2020. The results obtained show that the estimated values for the differentiation parameter are restricted to the interval (0, 1) in all cases, which allows us to conclude that there is a mean reverting pattern and, therefore, transitory effects of shocks.