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 journalArticlepeer-review

    605 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 languageEnglish
    Pages (from-to)267-283
    Number of pages17
    JournalEnergy Economics
    Volume22
    Issue number2
    DOIs
    Publication statusPublished - 26 Apr 2000

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