Is There Really Granger Causality Between Energy Use and Output?

Stephan B. Bruns, Christian Gross, David I. Stern

Research output: Contribution to journalArticle

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Abstract

We carry out a meta-analysis of the very large literature on testing for Granger causality between energy use and economic output to determine if there is a genuine effect in this literature or whether the large number of apparently significant results is due to publication or misspecification bias. Our model extends the standard meta-regression model for detecting genuine effects in the presence of publication biases using the statistical power trace by controlling for the tendency to over-fit vector autoregression models in small samples. Granger causality tests in these over-fitted models have inflated type I errors. We cannot find a genuine causal effect in the literature as a whole. However, there is a robust genuine effect from output to energy use when energy prices are controlled for.
Original languageEnglish
Pages (from-to)101-134
Number of pages34
JournalEnergy Journal
Volume35
Issue number4
DOIs
Publication statusPublished - Sep 2014

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Economics
Granger causality
Energy use
Testing
Energy prices
Misspecification
Statistical power
Regression model
Type I error
Granger causality test
Causal effect
Small sample
Vector autoregression model
Meta-analysis
Energy economics
Publication bias

Cite this

Is There Really Granger Causality Between Energy Use and Output? / Bruns, Stephan B.; Gross, Christian; Stern, David I.

In: Energy Journal, Vol. 35, No. 4, 09.2014, p. 101-134.

Research output: Contribution to journalArticle

Bruns, Stephan B. ; Gross, Christian ; Stern, David I. / Is There Really Granger Causality Between Energy Use and Output?. In: Energy Journal. 2014 ; Vol. 35, No. 4. pp. 101-134.
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