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On the use of panel cointegration tests in energy economics

Joakim Westerlund (), Kannan Thuraisamy () and Susan Sharma

Energy Economics, 2015, vol. 50, issue C, 359-363

Abstract: There is a burgeoning literature based on using panel cointegration techniques to study the relationship between energy consumption and GDP. Most panel cointegration tests employed take no cointegration as the null hypothesis. The current paper illustrates how a rejection by such a test cannot be taken as evidence of cointegration for the panel as a whole, a fact that seems to have gone largely unnoticed in the literature. Hence, even if the no cointegration null is rejected, this evidence is not enough to ensure that the relationship can be meaningfully estimated, as most (if not all) estimators in the literature require that the panel is cointegrated as a whole.

Keywords: Panel data; Cointegration; Energy consumption (search for similar items in EconPapers)
JEL-codes: C15 C22 C23 Q4 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.eneco.2014.08.020

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Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

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