On the use of panel cointegration tests in energy economics

Westerlund, Joakim, Thuraisamy, Kannan and Sharma, Susan 2015, On the use of panel cointegration tests in energy economics, Energy economics, vol. 50, pp. 359-363, doi: 10.1016/j.eneco.2014.08.020.

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Title On the use of panel cointegration tests in energy economics
Author(s) Westerlund, Joakim
Thuraisamy, KannanORCID iD for Thuraisamy, Kannan orcid.org/0000-0001-5164-5456
Sharma, SusanORCID iD for Sharma, Susan orcid.org/0000-0002-7297-1557
Journal name Energy economics
Volume number 50
Start page 359
End page 363
Total pages 5
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2015-07-01
ISSN 0140-9883
Keyword(s) Cointegration
Energy consumption
Panel data
Summary 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.
Language eng
DOI 10.1016/j.eneco.2014.08.020
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30073434

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