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

Abstract

9601 David Stern. Progress on the environmental Kuznets curve? 9701 Michael Young. Water rights: an ecological economics perspective. 9702 David Stern and Robert Kaufmann. Time series properties of global climate variables: detection and attribution of climate change. 9703 Ken Menz and Katie Ellis. Fire as an economic disincentive to smallholder rubber planting in Imperata areas. 9704 Roger Attwater. Property entitlements and land reform in upland Thai catchments. 9705 Mick Common, Tim Bull, and Natalie Stoeckl. The travel cost method: an empirical investigation of Randall's difficulty. 9706 Colin Hunt. Economic instruments for environmental and natural resource conservation and management in the South Pacific. 9707 David Alden. Recreational user management of parks: an ecological economic framework. 9708 David Stern and Robert Kaufmann. Is there a global warming signal in hemispheric temperature series? 9801 Daniel McKenney. Resource economists should do more cost analysis and less benefit analysis. 9802 Roy Darwin. FARM: A global framework for integrated land use/cover modeling.9803 David Stern. A multivariate cointegration analysis of the role of energy in the U.S. macroeconomy. Abstract This 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. Abosedra S. and H. Baghestani (1991) New evidence on the causal relationship between United States energy consumption and gross national product, Journal of Energy and Development 14, 285-292. Akaike H. (1973) Information theory and an extension of the maximum likelihood principle, in B. N. Petrov and F. Csaki (eds.) 2nd International Symposium on Information Theory, Budapest, Akademini Kiado, 267-281. Akarca A. and T. Long (1980) On the relationship between energy and GNP: A reexamination,

Time-varying analysis of CO2 emissions, energy consumption, and economic growth nexus: Statistical experience in next 11 countries

“…For instance, some studies find evidence of a unidirectional causality running from energy consumption to economic growth (e.g. Stern 2000, Chontanawat et al 2008, Bowden and Payne 2009, Warr and Ayres 2010. We find another branch of study indicating unidirectional causality running from economic growth to energy consumption (e.g.…”

Long-Run Demand for Energy Services: Income and Price Elasticities over Two Hundred Years

“…Thus, we concluded that the variables were non-stationary. Because the variables of interest were non-stationary and because long run energy consumption, GDP per capita, and energy prices are often cointegrated (and, therefore, their movement is closely related through time (Fouquet 1997, Stern 2000 (2005) formalised 7. Non-stationary series do not tend to revert to an average value.…”

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“…Johansen's multivariate approach also allows for more than two variables in the cointegration relationship (see, e.g. Masih and Masih, 1997;Stern, 2000;Asafu-Adjaye, 2000;Soytas and Sari, 2003;Oh and Lee, 2004a,b). Finally, fourth generation studies employ recently developed panel-econometric methods to test for unit roots and cointegration relations.…”