A multivariate cointegration analysis of the role of energy in the US macroeconomy
AbstractThis 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 InfoArticle provided by Elsevier in its journal Energy Economics.
Volume (Year): 22 (2000)
Issue (Month): 2 (April)
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Web page: http://www.elsevier.com/locate/eneco
Other versions of this item:
- David I. Stern, 1998. "A multivariate cointegration analysis of the role of energy in the U.S. macroeconomy," Working Papers in Ecological Economics 9803, Australian National University, Centre for Resource and Environmental Studies, Ecological Economics Program.
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