The persistence of air pollution in four mega-cities of China

• It analyses long range fractional dependence of China pollution in four major cities.
• The results reveal the orders of integration substantially different from zero and one.
• There is persistence in air pollution in the four different mega-cities of China.
• Guangzhou and Shenzhen shows higher levels of persistence, while Beijing and Shanghai does not.

This paper analyses long range fractional dependence of China pollution in four major cities, namely Beijing, Shanghai, Guangzhou and Shenzhen from September 28 of 2013 to December 12 of 2015. Unit roots hypotheses are tested by using fractional integration methods using both uncorrelated and autocorrelated errors. The results reveal that the pollution is persistent, meaning that it will continue until strong anti-pollution measures are adopted. Policy implication is derived.