Is There Really Granger Causality between Energy Use and Output?

Stephan Bruns, Christian Gross, David Stern

    Research output: Contribution to journalArticle

    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)101-133
    JournalThe Energy Journal
    Volume35
    Issue number4
    DOIs
    Publication statusPublished - 2014

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