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A multivariate cointegration analysis of the role of energy in the US macroeconomy

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  • Stern, David I.

Abstract

This paper extends my previous analysis of the causal relationship of GDP and energy use in the USA in the post-war period to a cointegration analysis of that relationship. It is found that the majority of the relevant variables are integrated justifying a cointegration analysis. The results show that cointegration does occur and that energy input cannot be excluded from the cointegration space. The results are plausible in terms of macroeconomic dynamics. The results are similar to my previous Granger Causality results and contradict claims in the literature (based on bivariate models) that there is no cointegration between energy and output.

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Bibliographic Info

Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 22 (2000)
Issue (Month): 2 (April)
Pages: 267-283

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Handle: RePEc:eee:eneeco:v:22:y:2000:i:2:p:267-283

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Web page: http://www.elsevier.com/locate/eneco

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References

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  17. Toda, Hiro Y. & Phillips, Peter C. B., 1993. "The spurious effect of unit roots on vector autoregressions : An analytical study," Journal of Econometrics, Elsevier, vol. 59(3), pages 229-255, October.
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  22. Yu, Eden S. H. & Jin, Jang C., 1992. "Cointegration tests of energy consumption, income, and employment," Resources and Energy, Elsevier, vol. 14(3), pages 259-266, September.
  23. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  24. Kaufmann, Robert K., 1994. "The relation between marginal product and price in US energy markets : Implications for climate change policy," Energy Economics, Elsevier, vol. 16(2), pages 145-158, April.
  25. Dale W. Jorgenson, 1984. "The Role of Energy in Productivity Growth," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 11-26.
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Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Energy Mix and Energy Intensity
    by David Stern in Stochastic Trend on 2010-04-17 04:49:00
  2. Serializing Energy and Growth Review Paper
    by David Stern in Stochastic Trend on 2010-04-11 06:52:00
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