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What if Energy Time Series are not Independent? Implications for Energy-GDP Causality Analysis

  • Bruns, Stephan B.

    ()

    (Max Planck Institute of Economics)

  • Gross, Christian

    ()

    (E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN))

Time series of electricity, petroleum products, and renewables are found to be highly correlated with total energy consumption. Applying this insight to the huge literature on energy-GDP causality explains that the results of energy-GDP causality tests frequently coincide with the results of energy type-GDP tests. Using the test by Toda-Yamamoto in combination with a cointegration-based testing approach, we detect such cases of concordance for 92 per cent of the countries in our sample of 65 countries. As a consequence, it is difficult to draw specific economic conclusions regarding single types of energy from bivariate causality analysis.

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Paper provided by E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN) in its series FCN Working Papers with number 10/2013.

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Length: 24 pages
Date of creation: 26 Sep 2013
Date of revision:
Handle: RePEc:ris:fcnwpa:2013_010
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