What if energy time series are not independent? Implications for energy-GDP causality analysis

Stephan Bruns and Christian Gross

Energy Economics, 2013, vol. 40, issue C, 753-759

Abstract: Time series of electricity, petroleum products, and renewables are found to be highly correlated with total energy consumption. Applying this insight to the huge literature on energy-GDP causality explains that the results of total energy-GDP causality tests frequently coincide with the results of energy type-GDP tests. Using the test by Toda–Yamamoto in combination with a cointegration-based testing approach, we detect such cases of concordance for 92% of the countries in our sample of 65 countries. We infer that drawing specific economic conclusions with regard to single types of energy from bivariate causality analysis is difficult.

Keywords: Energy; GDP; Granger causality; Correlation; Electricity; Petroleum products; Renewables; Toda–Yamamoto; Johansen–Juselius (search for similar items in EconPapers)
JEL-codes: C32 C52 Q43 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:40:y:2013:i:c:p:753-759

DOI: 10.1016/j.eneco.2013.08.020

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