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On the Use of Panel Cointegration Tests in Energy Economics

Westerlund, Joakim LU ; Thuraisamy, Kannan and Sharma, Susan (2015) In Energy Economics 50. p.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 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.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Panel data, Cointegration, Energy consumption.
in
Energy Economics
volume
50
pages
359 - 363
publisher
Elsevier
external identifiers
  • wos:000359876800035
  • scopus:84937911309
ISSN
0140-9883
DOI
10.1016/j.eneco.2014.08.020
language
English
LU publication?
yes
id
61d11be2-715e-490f-a692-58f4a61888ea (old id 4588927)
date added to LUP
2014-08-20 11:33:32
date last changed
2017-10-22 03:15:52
@article{61d11be2-715e-490f-a692-58f4a61888ea,
  abstract     = {There is a burgeoning literature based on using panel cointegration techniques to<br/><br>
study the relationship between energy consumption and GDP. Most panel cointegration<br/><br>
tests employed take no cointegration as the null hypothesis. The current paper illustrates<br/><br>
how a rejection by such a test cannot be taken as evidence of cointegration for the panel<br/><br>
as a whole, a fact that seems to have gone largely unnoticed in the literature. Hence,<br/><br>
even if the no cointegration null is rejected, this evidence not enough to ensure that the<br/><br>
relationship can be meaningfully estimated, as most (if not all) estimators in the literature<br/><br>
require that the panel is cointegrated as a whole.},
  author       = {Westerlund, Joakim and Thuraisamy, Kannan and Sharma, Susan},
  issn         = {0140-9883},
  keyword      = {Panel data,Cointegration,Energy consumption.},
  language     = {eng},
  pages        = {359--363},
  publisher    = {Elsevier},
  series       = {Energy Economics},
  title        = {On the Use of Panel Cointegration Tests in Energy Economics},
  url          = {http://dx.doi.org/10.1016/j.eneco.2014.08.020},
  volume       = {50},
  year         = {2015},
}