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Cointegrating Relationship and Granger Causal Analysis in Energy Economics — A Practical Guidance

In: HANDBOOK OF ENERGY FINANCE Theories, Practices and Simulations

Author

Listed:
  • Zheng Fang
  • Thai-Ha Le

Abstract

Cointegrating relationship and Granger causal analysis are used widely inempirical macroeconomics, especially in energy economics. This chapter aims to provide a survey of the development of the two widely used econometric methodologies with a practical guidance on issues that should be considered in implementation and software packages that are available for usage. An example which studies the existence of cointegrating and Granger causal relationship between energy consumption and economic growth is given to illustrate how such analysis can be carried out.

Suggested Citation

  • Zheng Fang & Thai-Ha Le, 2020. "Cointegrating Relationship and Granger Causal Analysis in Energy Economics — A Practical Guidance," World Scientific Book Chapters, in: Stéphane Goutte & Duc Khuong Nguyen (ed.), HANDBOOK OF ENERGY FINANCE Theories, Practices and Simulations, chapter 28, pages 697-741, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813278387_0028
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    More about this item

    Keywords

    Energy Finance; Financial and Economic Modeling; Volatility; Forecasting; Quantitative Finance; Energy Markets;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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