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

David I. Stern

doi:10.1016/S0140-9883(99)00028-6

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

David I. Stern^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

620 Citations (Scopus)

Abstract

This paper extends my previous analysis of the causal relationship of GDP and energy use in the USA in the post-war period. A 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. (C) 2000 Elsevier Science B.V. All rights reserved.

Original language	English
Pages (from-to)	267-283
Number of pages	17
Journal	Energy Economics
Volume	22
Issue number	2
DOIs	https://doi.org/10.1016/S0140-9883(99)00028-6
Publication status	Published - 26 Apr 2000

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abstract = "This paper extends my previous analysis of the causal relationship of GDP and energy use in the USA in the post-war period. A 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. (C) 2000 Elsevier Science B.V. All rights reserved.",

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AB - This paper extends my previous analysis of the causal relationship of GDP and energy use in the USA in the post-war period. A 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. (C) 2000 Elsevier Science B.V. All rights reserved.

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KW - GDP

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

Abstract

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