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A Multivariate Cointegration Analysis of the Role of Energy in the U.S. Macroeconomy

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Authors

Stern, David
Stern, David

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Publisher

Elsevier

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.

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Keywords

energy use, GDP, macroeconomic dynamics, multivariate cointegration analysis, USA

Citation

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http://hdl.handle.net/1885/40554

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ANU Research Publications

Source

Working Papers in Ecological Economics; No. 9803

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Working/Technical Paper

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Restricted until

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eep9803.pdf (75.73 KB)

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