Cointegrating Relationship and Granger Causal Analysis in Energy Economics — A Practical Guidance

Zheng Fang and Thai-Ha Le

Chapter 28 in Handbook of Energy Finance:Theories, Practices and Simulations, 2020, pp 697-741 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Cointegrating relationship and Granger causal analysis are used widely inempirical macroeconomics, especially in energy economics. This chapter aims to provide a survey of the development of the two widely used econometric methodologies with a practical guidance on issues that should be considered in implementation and software packages that are available for usage. An example which studies the existence of cointegrating and Granger causal relationship between energy consumption and economic growth is given to illustrate how such analysis can be carried out.

Keywords: Energy Finance; Financial and Economic Modeling; Volatility; Forecasting; Quantitative Finance; Energy Markets (search for similar items in EconPapers)
JEL-codes: G20 G32 Q40 (search for similar items in EconPapers)
Date: 2020
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