We estimate an identified cointegrated vector autoregression (CVAR) model of the climate system to test hypotheses about the physical mechanisms that may drive glacial cycles during the late Pleistocene. Results indicate that a permanent doubling of CO2 generates a 11.1oC rise in Antarctic temeprature. Large variations in atmospheric CO2 over glacial cycles are driven by changes in sea ice and sea surface temperature in southern oceans and marine biological activity. The latter can be represented by a two-step process in which iron dust increases biological activity and the increase in biological activity reduces CO2 concentrations. Glacial variations in ice volume, as proxied by are driven by changes in CO2 concentrations, global and high latitude solar insolation, latitudinal gradients in solar insolation, and the atmospheric concentration of CO2. The model is able to quantify the effects of ice volume and temperature on sea level, such that in the long-run, sea level rises 14 m per 0.11%o and about 17 m per degree Celsius of sea surface temperature in southern oceans. Beyond these specific results, the multivariate model suggests omitted variables may bias bi-variate analyses of these mechanisms.