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On the use of panel cointegration tests in energy economics

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.

History

Journal

Energy economics

Volume

50

Pagination

359 - 363

Publisher

Elsevier

Location

Amsterdam, The Netherlands

ISSN

0140-9883

Language

eng

Publication classification

C Journal article; C1 Refereed article in a scholarly journal

Copyright notice

2015, Elsevier