Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
On the Use of Panel Cointegration Tests in Energy Economics
Author
Summary, in English
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 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.
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 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.
Department/s
- Department of Economics
Publishing year
2015
Language
English
Pages
359-363
Publication/Series
Energy Economics
Volume
50
Document type
Journal article
Publisher
Elsevier
Topic
- Economics
Keywords
- Panel data
- Cointegration
- Energy consumption.
Status
Published
ISBN/ISSN/Other
- ISSN: 0140-9883