In this paper, we examine nonlinear interrelationship between energy consumption and output level for a panel of G7 countries. For this purpose, we propose a nonlinear cointegration test in heterogeneous panels for testing the presence of a cointegrating relationship that follows a globally stationary exponential smooth transition (ESTR) process, and apply our test for investigating long-run relationship between energy use and economic growth in the case of the G7 countries. Our results suggest the presence of a long-run relationship between these two variables whereas adjustment to the equilibrium is inherently nonlinear. After establishing long-run relationship between energy consumption and output, we estimate a Panel Smooth Transition Vector Error Correction Model and apply nonlinear Granger causality tests in order to analyze the direction of the causality between these variables. We find that the causality between energy consumption and output level is dependent on the phases of business cycle. Our results highlight importance of taking account of possible nonlinearities in analysing output-energy causality nexus and designing energy policies.
The book attempts to analyze the relationship between energy consumption and economic growth in Indonesia and Malaysia. By employing the cointegration and Granger causality test, the book examines the causal direction between energy consumption and economic growth which provides critical input for the implementation of the energy conservation policy. Annual data on oil consumption and GDP are considered, covering the period from 1965 to 2010. The result highlights that there is cointegration relationship between energy consumption and economic growth in both countries.
This research initiative investigates the nature and direction of the causal relationship between financial development and economic growth for the Bolivian case. To achieve these goals, Granger-causality tests within a cointegration and Vector Error Correction Model (VECM) framework are performed. Empirical results support the existence of a stable long-run relationship between financial development and economic growth, and show evidence of both a weak unidirectional Granger-causality running from private credit to growth and a unidirectional causality flowing from growth to M2. Given that the two financial development proxies capture different dimensions of the financial system, the addition of the found causality patterns is taken as a broad bi-directional causality. Although this linkage seems to be undermined mostly by structural factors, it is concluded that in Bolivia financial development matters for growth and vice-versa.
The present study investigates the relationship between energy (renewable and nonrenewable) consumption and economic growth using Cobb–Douglas production function in case of Pakistan over the period of 1972–2011. We have used the ARDL bounds testing and Gregory and Hansen (1990) structural break cointegration approaches for the long run while stationarity properties of the variables have been tested applying Clemente-Montanes-Reyes (1998) structural break unit root test. Our results con?rm cointegration between renewable energy consumption, nonrenewable energy consumption, economic growth, capital and labor in the case of Pakistan. The ?ndings show that renewable and nonrenewable energy consumption both add in economic growth. Capital and labor are also important determinants of economic growth. The VECM Granger causality analysis validates the existence of feedback hypotheses between renewable energy consumption and economic growth, nonrenewable energy consumption and economic growth, economic growth and capital
The study seeks to investigate empirically the direction and shape of causality among trade openness, investment and economic growth using data for Bangladesh during the period 1980-2006. Although in most cases, statistically reliable evidence of cointegration is sufficient to testify the existence of a long-run relationship among the variables of a particular model, Granger causality test provides a more dependable tool for determining the direction of the causality in particular. In order to achieve the objective of the study, modern econometric methodologies such as cointegration tests and the Granger causality tests have been applied across all the variables of our model using a trivariate framework of regression equations. The test results indicate that there exists a long-run equilibrium relationship between trade openness, national income growth and total investment. Furthermore, empirical results of Granger causality confirm that there exists unidirectional causality between economic growth and investment; between trade openness and economic growth; and between trade openness and investment.
The study investigates government expenditure and economic growth in Nigeria, using cointegation and causality analysis. The study employs Augmented Dickey-Fuller (ADF) unit root test, Kwiatkowski, Philips, Schmidt and Shin (KPSS) Test, Johansen based Cointegration and Granger Causality Test. The ADF and KPSS tests indicate that the series are all integrated of order one [I(1)]. The Johansen Cointegration tests indicate three long–run relationships between government expenditure and economic growth. While the test for causality shows that economic growth granger-cause government expenditure. The study also indicates that there exist two unidirectional causality running from GDP to TCE and GDP to TRE which supports the Wagner’s Law. The results of Error Correction Model (ECM) have negative signs and the Error Correction term (EC) indicate that there exists long run relationship between economic growth and Government expenditure. The study recommends that government should ensure that capital and recurrent expenditures are properly managed to accelerate economic growth.
The emerging FDI and growth literatures stipulate that the relationship between FDI and growth is highly heterogeneous across countries and thus have not won a common consensus among economists. Therefore, this study analyzes the relationship between FDI and economic growth in 31 SSA countries using panel data from 1992 to 2009 obtained from World Development Indicators and World Bank's Worldwide Governance Indicators of 2010 using system GMM econometric technique. As the panel cointegration test shows existence of long run relationship between FDI and economic growth, the causality test is undertaken and the finding shows that the causality is unidirectional, causality running from FDI to growth in the entire sample countries. However when the countries are split into two: 19 low income countries and 12 middle income countries, the causality result is the same as that of all sample countries in the case of low income countries whereas bidirectional causality is evidenced in the case of middle income countries.
This study empirically examines the causal relationship between bank credit and economic growth in Ethiopia. It can be one of the country specific (time series) evidence concerning the relationship between bank credit and economic growth. The study covers quarterly data from the period 1998 to 2010 which are about 52 observations. In this examination, Granger causality with VECM methodology along with impulse response and variance decomposition analyses are carried out by using selected bank credit and economic growth indicators. The variables are the natural logarithm of real gross domestic product (LRGDP), the natural logarithm of domestic credit (LDC), the natural logarithm of private sector credit (LPRC) and the natural logarithm of public sector credit (LPUC). Stationary tests, selection of optimal lag length and Cointegration tests are also undertaken before the estimation of the models.It can be concluded from the results of the analysis that there is a causal relationship directed from economic growth to bank credit in the long run.
This study investigates the nexus between public spending and economic growth in Ethiopia (1971–2010) using an Autoregressive Distributed Lag Model or Bound Testing Approach. In order to determine the direction of causality between public spending and economic growth, Toda and Yamamato (1995) augmented Granger causality test is used. The outcome of the study revealed that, the growth impact of government consumption expenditure in Ethiopia during the study period was negative and significant. However, that of investment spending was positive and significant both in the short run and in the long run, showing the relevance of public physical investment activities to the economy. The test of causality, however, indicated that there was a unidirectional causality running from economic growth to aggregate public spending.
In this book, we estimate the dynamic relationship between cooperation in R&D and economic growth. We will try to bring some theoretical literature on the relations of technological cooperation in to cooperation emergence as a new approach of economic coordination. Our empirical studies recently bases on various estimation methods developed within dynamic panel framework. We used Generalized Moment Method, causality tests and unit root applied to panel data. Results suggest a positive and significant relation between R&D cooperation and economic growth for all countries sample.
The book examines Granger causality between electricity consumption and nominal Gross Domestic Product (GDP) for Pakistan using annual data covering the period 1971–72 to 2007–08. Augmented Dickey-Fuller test reveals that both the series, after logarithmic transformation, are non-stationary and individually integrated of order one. The authors find absence of long-run equilibrium relationship among the variables but there exists a unidirectional Granger causality running from economic growth to electricity consumption without any feedback effect. So, the energy conservation policies can be initiated without deteriorating growth process. Moreover, the book pours light on the causes of the real spurt in electricity demand and shortages in electricity supply.
Tourism and export are important business sectors for economic growth, and plays important roles in developing countries such as Indonesia and Malaysia. To examine the causality among tourism, using international tourist arrivals (ITA) as a proxy, export, and economic growth, using real GDP as a proxy, Johansen's cointegration test and Granger causality have been employed. The relationship among tourism, export, and economic growth is essential to policy development in developing countries. By using annual data from 1980 to 2010, for Indonesia’s time series, results show that bidirectional Granger causality runs between tourism and export. While, a unidirectional Granger causality runs from GDP to export as well as from GDP to tourism. Meanwhile, for Malaysia’s time series, results show that there is no Granger causality between variables. However, neither export-led growth hypothesis nor tourism-led hypothesis is supported for both Indonesia’s and Malaysia’s time series.
Nonlinear Econometric Modeling in Time Series Analysis presents recent developments in this important area of research. This is the first volume to focus on the more recent literature on nonlinear time series. Specific topics covered with respect to nonlinearity include cointegration tests, risk-related asymmetries, structural breaks and outliers, Bayesian analysis with a threshold, consistency and asymptotic normality, asymptotic inference, and error-correction models.
This book empirically examines the role of human capital in the economic growth of selected South Asian countries Pakistan, India and Bangladesh. The analysis is based on the time series data during 1986-2010 and a comparison has been made between three countries about their performance in growth of their economies. Health and Education are used as proxy for human capital. For this purpose, a three step methodology has been adopted. As first step unit root test is applied to test the stationarity of data. After that cointegration test and granger causality test is applied to test the causality between the variables. The results show that human capital is positively and significantly linked with economic growth of the countries under discussion.
The Economic prosperity have always been linked to international trade and inflow of foreign direct investment.However,over past decades,Energy is important input for all major sectors of an economy.But in South Asian region,Governments'' insufficiency to initiate new projects to grow productive capacity of energy coupled with its increasing demand leads to power cutoffs.Which depict the lines of disequilibrium in energy demand and supply.For this region,a very little academic literature exist on why this crisis and what is energy-economic growth relationship.Moreover,previous literature based on simple causality bi-variate analysis.Thus,this book provides panel co-integration analysis for selected South Asian countries.whether economic growth takes precedence over energy use or energy itself motivates for growth.Several reports,data sets and policies are given in order to clarify and support the analysis.Beside this,based on analysis some short-term and long-term plannings,modified polices and recommendations are addressed.It should helpful to new upcoming studies,researches.specially useful to policy orientations to implement policies and projects,which are in national interest