Is there really Granger causality between energy use and output?
Date
Authors
Stern, David
Bruns, Stephan B.
Gross, Christian
Journal Title
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Volume Title
Publisher
Crawford School of Public Policy, The Australian National University
Abstract
We carry out a meta-analysis of the very large literature on Granger causality tests between energy
use and economic output to determine if there is a genuine effect in this literature or whether the
large number of apparently significant results is due to publication and misspecification bias. Our
model extends the standard meta-regression model for detecting genuine effects using the statistical
power trace in the presence of publication biases by controlling for the tendency to over-fit vector
auto regression models in small samples. These over-fitted models have inflated type 1 errors. We find that models that include energy prices as a control variable find a genuine effect from output to energy use in the long-run. A genuine causal effect also seems apparent from energy to output when employment is controlled for and the Johansen procedure is used.
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Citation
Bruns, Stephan B., Gross, C., Stern, David, I., 2013, Is There Really Granger Causality Between Energy Use and Output, Crawford School Working Paper No. 13 - 07, March 2013, Crawford School of Public Policy, The Australian National University, Canberra
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Source
The Energy Journal
Type
Working/Technical Paper
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Open Access
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Restricted until
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