Introduction
Empirical literature
Method and data
Empirical model
Econometric strategy
Empirical strategy
Data
Preliminary test of data
Tab.1 Unit root test |
Variables | ADF_GLS | Phillip-Perron | Perron unit root test with structural break | ||||||
---|---|---|---|---|---|---|---|---|---|
Constant | Constant & trend | Constant | Constant & trend | Constant | Trend | Constant & trend | |||
lnEI | - 1.334 | - 1.130 | 1.922 | - 2.565 | - 5.079c(1999) | - 2.878(1994) | - 4.085(1999) | ||
ΔlnEI | - 1.777c | - 6.836a | - 6.003a | - 6.882a | - 7.947a(2000) | - 7.919a(2003) | - 7.979a(2003) | ||
lnPE | 0.754 | - 2.846 | 0.585 | - 4.078b | - 8.966a(1983) | - 4.518c(1994) | - 9.109a(1983) | ||
ΔlnPE | - 8.179a | - 4.271a | - 12.338a | —— | —— | —— | —— | ||
lnPO | - 1.574 | - 1.820 | - 1.707 | - 2.103 | - 3.313(2003) | - 2.726(1996) | - 2.853(2004) | ||
ΔlnPO | - 6.385a | - 6.582a | - 6.447a | - 6.465a | - 7.343a(1998) | - 7.180a(1983) | - 7.392a(1998) | ||
lnFD(PS) | - 0.770 | - 1.567 | - 0.720 | - 2.212 | - 3.524(1977) | - 3.632(1981) | - 4.290(1983) | ||
ΔlnFD(PS) | - 4.286a | - 5.173a | - 6.148a | - 6.500a | - 8.025a(1983) | - 7.525a(1989) | - 7.908a(1991) | ||
lnFD(PSBK) | - 0.815 | - 1.579 | - 0.768 | - 2.212 | - 3.458(1977) | - 3.534(1981) | - 4.198(1983) | ||
ΔlnFD(PSBK) | - 4.294a | - 5.186a | - 6.168a | - 6.501a | - 8.035a(1983) | - 7.537a(1989) | - 7.918a(1991) | ||
lnFD(M2) | - 1.083 | - 1.744 | - 1.322 | - 1.884 | - 3.082(1980) | - 3.544(1980) | - 3.969(1991) | ||
ΔlnFD(M2) | - 6.826a | - 6.863a | - 6.760a | - 6.714a | - 7.761a(1983) | - 7.317a(1979) | - 8.534a(1985) | ||
lnFD(M2_R) | - 1.678 | - 2.569 | - 3.278b | - 3.059 | - 3.144(1981) | - 2.826(1981) | - 3.227(1981) | ||
ΔlnFD(M2_R) | - 6.879a | - 7.047a | —— | - 8.047a | - 5.678b(2000) | - 5.157b(1990) | - 5.636b(1986) | ||
lnTOP | - 1.574 | - 2.94 | - 1.137 | - 2.251 | - 3.031(1985) | - 2.998(2003) | - 4.683(1983) | ||
ΔlnTOP | - 4.068a | - 4.973a | - 4.492a | - 4.343a | - 6.874a(1982) | - 4.965a(1986) | - 7.040a(1982) | ||
lnIVA | 0.463 | - 0.156 | - 0.160 | - 0.873 | - 3.863(1992) | - 3.474(1979) | - 4.643(1983) | ||
ΔlnIVA | - 3.644a | - 4.187a | - 5.357a | - 5.537a | - 5.833a(1982) | - 4.805a(1987) | - 5.889a(1982) |
Note: a, b, and c denote a significance of 1%, 5%, and 10%, respectively. |
Tab.2 Bounds cointegrating test |
Model | F-stats | 1% significance | 5% significance | 10% significance | |||||
---|---|---|---|---|---|---|---|---|---|
I(0) | I(1) | I(0) | I(1) | I(0) | I(1) | ||||
4.13 | 5.00 | 3.10 | 3.87 | 2.63 | 3.35 | ||||
F(EI|PE, PO) | 9.080 | ||||||||
3.65 | 4.66 | 2.79 | 3.67 | 2.37 | 3.20 | ||||
F(EI|PE, PO,FD(PS)) | 7.792 | ||||||||
F(EI|PE, PO,FD(PSBK)) | 7.774 | ||||||||
F(EI|PE, PO,FD(M2)) | 7.230 | ||||||||
F(EI|PE, PO,FD(M2_R)) | 7.090 | ||||||||
F(EI|PE, PO, FD(INDEX)) | 6.750 | ||||||||
3.06 | 4.15 | 2.39 | 3.38 | 2.08 | 3.00 | ||||
F(EI|PE, PO,FD(PS), TOP, IVA) | 5.329 | ||||||||
F(EI|PE, PO,FD(PSBK), TOP, IVA) | 5.310 | ||||||||
F(EI|PE, PO,FD(M2), TOP, IVA) | 5.590 | ||||||||
F(EI|PE, PO,FD(M2_R), TOP, VIA) | 4.568 | ||||||||
F(EI|PE, PO,FD(INDEX), TOP, IVA) | 5.687 | ||||||||
F(ELI|PE, PO,FD(PS), TOP, IVA) | 8.216 | ||||||||
F(ELI|PE, PO,FD(PSBK), TOP, IVA) | 8.227 | ||||||||
F(ELI|PE, PO,FD(M2), TOP, IVA) | 7.873 | ||||||||
F(ELI|PE, PO,FD(M2_R), TOP, VIA) | 7.913 | ||||||||
F(ELI|PE, PO,FD(INDEX), TOP, IVA) | 7.431 |
Discussion of results
Long-run estimates (baseline result)
Tab.3 Dependent variable: energy intensity |
FMOLS | Canonical cointegration | Stock-Watson DOLS | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
M1 | M2 | M3 | M4 | M5 | M6 | M1 | M2 | M3 | M4 | M5 | M6 | M1 | M2 | M3 | M4 | M5 | M6 | |||
lnPE | 0.294a (0.0327) | 0.184a (0.0210) | 0.185a (0.0209) | 0.236a (0.0299) | 0.305a (0.0312) | 0.206a (0.0267) | 0.293a (0.0323) | 0.185a (0.0188) | 0.186a (0.0188) | 0.233a (0.0280) | 0.303a (0.0307) | 0.206a (0.0238) | 0.300a (0.0209) | 0.206a (0.0305) | 0.207a (0.0299) | 0.276a (0.0349) | 0.295a (0.0216) | 0.225a (0.0221) | ||
lnPO | 0.099 (0.1204) | 0.196a (0.0592) | 0.200a (0.0599) | 0.156c (0.0869) | 0.098 (0.1104) | 0.183b (0.0799) | 0.098 (0.1149) | 0.199a (0.0590) | 0.203a (0.0594) | 0.151c (0.0851) | 0.117 (0.1099) | 0.185b (0.0779) | 0.166c (0.0844) | 0.153c (0.0768) | 0.158b (0.0769) | 0.212c (0.1089) | 0.067 (0.0768) | 0.110 (0.0676) | ||
lnFD(PS) | 0.388a (0.0644) | 0.385a (0.0599) | 0.342a (0.0938) | |||||||||||||||||
lnFD(PSBK) | 0.394a (0.0655) | 0.390a (0.0609) | 0.347a (0.0943) | |||||||||||||||||
lnFD(M2) | 0.521b (0.1993) | 0.535b (0.2033) | 0.166 (0.2651) | |||||||||||||||||
lnFD(M2_R) | 0.310b (0.1387) | 0.256b (0.1010) | 0.204c (0.1198) | |||||||||||||||||
FD(INDEX) | 0.140a (0.0340) | 0.140a (0.0317) | 0.109a (0.0294) | |||||||||||||||||
Con | 18.52a (0.4967) | 16.878a (0.3432) | 16.861a (0.3469) | 16.406c (0.7599) | 18.284a (0.4660) | 17.787a (0.3462) | 18.522a (0.4703) | 16.873a (0.3558) | 16.858a (0.3591) | 16.376a (0.7692) | 18.241a | 17.780a (0.0354) | 18.276a (0.3304) | 17.302a (0.5036) | 17.279a (0.5032) | 17.448a (0.8844) | 18.513a (0.3306) | 18.222c (0.3028) | ||
Adj R-square | 0.872 | 0.957 | 0.956 | 0.899 | 0.875 | 0.933 | 0.873 | 0.957 | 0.956 | 0.899 | 0.882 | 0.933 | 0.965 | 0.977 | 0.977 | 0.946 | 0.926 | 0.956 | ||
SER | 0.216 | 0.125 | 0.127 | 0.192 | 0.214 | 0.156 | 0.216 | 0.125 | 0.127 | 0.192 | 0.207 | 0.156 | 0.104 | 0.092 | 0.092 | 0.137 | 0.165 | 0.126 | ||
SSR | 2.013 | 0.660 | 0.675 | 1.551 | 1.923 | 1.025 | 2.002 | 0.658 | 0.673 | 1.548 | 1.807 | 1.026 | 0.250 | 0.261 | 0.262 | 0.580 | 0.955 | 0.574 | ||
LRV | 0.211 | 0.048 | 0.049 | 0.110 | 0.177 | 0.091 | 0.211 | 0.048 | 0.049 | 0.110 | 0.177 | 0.091 | 0.042 | 0.037 | 0.036 | 0.075 | 0.072 | 0.043 |
Note: a, b, and c denote 1%, 5%, and 10% significance. The figures in () denotes standard errors. Long-run covariance estimate (Bartlett Kernel, Newey-West fixed Bandwidth, optimal prewhitening lag selected based on the Akaike Information Criterion (AIC)). For the DOLS, the optimal lead-lag was selected based on AIC. |
Long-run estimates (Extended model)
Tab.4 Dependent variable: energy intensity |
FMOLS | Canonical Cointegration | Stock-Watson DOLS | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
M1 | M2 | M3 | M4 | M5 | M1 | M2 | M3 | M4 | M5 | M1 | M2 | M3 | M4 | M5 | |||
lnPE | -0.171a (0.0193) | -0.173a (0.0192) | -0.175a (0.0336) | -0.206a (0.0320) | -0.174a (0.0252) | -0.176a (0.0189) | -0.179a (0.0190) | -0.172a (0.0351) | -0.201a (0.0360) | -0.175a (0.0257) | -0.153a (0.0271) | -0.185a (0.0219) | -0.169a (0.0395) | -0.186a (0.0381) | -0.175a (0.0286) | ||
lnPO | -0.189a (0.0573) | -0.192a (0.0573) | -0.401a (0.1039) | -0.409a (0.0916) | -0.232a (0.0794) | -0.180a (0.0650) | -0.181a (0.0649) | -0.423a (0.1157) | -0.415a (0.0944) | -0.253a (0.0877) | -0.233c (0.1326) | -0.172c (0.0854) | -0.362a (0.1158) | -0.383a (0.0927) | -0.247b (0.1101) | ||
lnFD(PS) | -0.413a (0.0752) | -0.391a (0.0754) | -0.338c (0.1817) | ||||||||||||||
lnFD(PSBK) | -0.417a (0.0760) | -0.395a (0.0763) | -0.381a (0.1087) | ||||||||||||||
lnFD(M2) | -0.191 (0.2399) | -0.118 (0.2839) | -0.145 (0.2666) | ||||||||||||||
lnFD(M2_R) | -0.074 (0.0992) | -0.045 (0.0922) | -0.052 (0.1060) | ||||||||||||||
FD(INDEX) | -0.130a (0.0382) | -0.109a (0.0364) | -0.098c (0.2729) | ||||||||||||||
lnTOP | -0.159 (0.1408) | -0.149 (0.1417) | -0.569b (0.2297) | -0.497a (0.2240) | -0.394b (0.1831) | -0.133 (0.1834) | -0.118 (0.1854) | -0.615b (0.2711) | -0.519c (0.2818) | -0.429c (0.2364) | -0.562 (0.3678) | -0.157 (0.2433) | -0.717b (0.2814) | -0.684b (0.2555) | -0.496c (0.2838) | ||
lnIVA | 0.301 (0.1998) | 0.285 (0.2000) | 0.203 (0.3729) | 0.064 (0.3246) | 0.431 (0.2772) | 0.242 (0.2244) | 0.219 (0.2254) | 0.223 (0.4270) | 0.084 (0.3811) | 0.399 (0.2991) | 0.727b (0.2575) | 0.291 (0.2204) | 0.450 (0.3906) | 0.339 (0.3101) | 0.490a (0.2838) | ||
Con | -17.070a (0.5051) | -17.061a (0.5064) | -14.515a (0.7857) | -15.002a (0.7999) | -17.192a (0.8064) | -17.094a (0.6206) | -17.092a (0.6216) | -14.516a (0.7651) | -14.952a (0.7554) | -16.876a (0.8222) | - 16.724a (1.3600) | -17.284a (0.8577) | -15.012a (0.9422) | -15.181a (0.9554) | -16.951a (1.3278) | ||
Adj R-square | 0.955 | 0.954 | 0.905 | 0.908 | 0.931 | 0.957 | 0.956 | 0.903 | 0.909 | 0.934 | 0.984 | 0.981 | 0.956 | 0.960 | 0.960 | ||
SER | 0.129 | 0.130 | 0.186 | 0.183 | 0.159 | 0.126 | 0.127 | 0.188 | 0.182 | 0.156 | 0.075 | 0.085 | 0.127 | 0.121 | 0.105 | ||
SSR | 0.664 | 0.677 | 1.384 | 1.344 | 1.011 | 0.634 | 0.645 | 1.414 | 1.330 | 0.971 | 0.095 | 0.208 | 0.469 | 0.425 | 0.322 | ||
LRV | 0.027 | 0.027 | 0.077 | 0.073 | 0.048 | 0.027 | 0.027 | 0.077 | 0.073 | 0.046 | 0.009 | 0.014 | 0.032 | 0.028 | 0.023 |
Note: a, b, and c denote 1%, 5%, 10% significance. The figures in ( ) denote standard errors. Long-run covariance estimate (Bartlett Kernel, Newey-West fixed Bandwidth, optimal prewhitening lag selected based on AIC). For the DOLS, the optimal lead-lag was selected based on AIC. |
Tab.5 Dependent variable: electrical energy intensity |
FMOLS | Canonical cointegration | Stock-Watson DOLS | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
M1 | M2 | M3 | M4 | M5 | M1 | M2 | M3 | M4 | M5 | M1 | M2 | M3 | M4 | M5 | |||
lnPE | -0.160a (0.0300) | -0.163a (0.0297) | -0.192a (0.0419) | -0.150a (0.0365) | -0.194a (0.0317) | -0.165a (0.0302) | -0.168a (0.0302) | -0.195a (0.0443) | -0.149a (0.0409) | -0.166a (0.0377) | -0.152a (0.0466) | -0.155a (0.0469) | -0.057 (0.0461) | -0.087b (0.0389) | -0.116b (0.0440) | ||
lnPO | -0.122 (0.0890) | -0.124 (0.0886) | -0.441a (0.1296) | -0.358a (0.1043) | -0.191c (0.997) | -0.110 (0.1022) | -0.111 (0.1017) | -0.466a (0.1461) | -0.366a (0.1096) | -0.294b (0.1286) | -0.332 (0.1956) | -0.317 (0.1932) | -0.425a (0.1136) | -0.555a (0.0851) | -0.485a (0.1613) | ||
lnFD(PS) | -0.414a (0.1168) | -0.410a (0.1214) | -0.196 (0.2635) | ||||||||||||||
lnFD(PSBK) | -0.414a (0.1175) | -0.411a (0.1226) | -0.232 (0.2683) | ||||||||||||||
lnFD(M2) | 0.433 (0.2993) | 0.527 (0.3587) | - 0.301 (0.2846) | ||||||||||||||
lnFD(M2_R) | 0.251b (0.1131) | 0.252b (0.1233) | 0.342a (0.1163) | ||||||||||||||
FD(INDEX) | -0.056 (0.0480) | -0.021 (0.0606) | 0.024 (0.0808) | ||||||||||||||
lnTOP | -0.384c (0.2188) | -0.376c (0.2192) | -0.649b (0.2865) | -0.658b (0.2552) | -0.537b (0.2299) | -0.354 (0.2929) | -0.340 (0.2944) | -0.692c (0.3518) | -0.693b (0.3237) | -0.728b (0.3563) | -0.685 (0.5618) | -0.614 (0.5997) | -1.459a (0.2994) | -1.191a (0.2514) | -1.321a (0.4177) | ||
lnIVA | 0.894a (0.3105) | 0.877a (0.3095) | 0.126 (0.4650) | 0.316 (0.3699) | 0.694c (0.3481 | 0.872b (0.3727) | 0.847b (0.3722) | 0.156 (0.5400) | 0.381 (0.4468) | 0.678 (0.4743) | 0.866c (0.4364) | 0.839c (0.4383) | 1.401a (0.4014) | 0.765b (0.2942) | 1.067a (0.3772) | ||
Con | -18.338a (0.7847) | -18.323a (0.7833) | -15.954a (0.9999) | -15.560a (0.9114) | -17.810a (1.0126) | -18.464a (0.9631) | -18.457a (0.9612) | -16.076a (0.9240) | -15.579a (0.8799) | -16.486a (1.2627) | -16.652a (2.0013) | -16.846a (1.9932) | -13.901a (1.0262) | -13.866a (0.9483) | -14.391a (2.1081) | ||
Adj R-square | 0.731 | 0.730 | 0.716 | 0.741 | 0.716 | 0.733 | 0.732 | 0.715 | 0.740 | 0.707 | 0.922 | 0.923 | 0.939 | 0.950 | 0.928 | ||
SER | 0.311 | 0.312 | 0.317 | 0.306 | 0.320 | 0.310 | 0.311 | 0.317 | 0.307 | 0.325 | 0.165 | 0.164 | 0.146 | 0.132 | 0.158 | ||
SSR | 3.879 | 3.891 | 4.027 | 3.745 | 4.095 | 3.854 | 3.864 | 4.114 | 3.758 | 4.225 | 0.625 | 0.017 | 0.490 | 0.404 | 0.575 | ||
LRV | 0.065 | 0.064 | 0.070 | 0.095 | 0.076 | 0.065 | 0.064 | 0.119 | 0.095 | 0.107 | 0.039 | 0.039 | 0.021 | 0.017 | 0.027 |
Note: a, b, and c denote 1%, 5%, 10% significance. The figures in ( ) denote standard errors. Long-run covariance estimate (Bartlett Kernel, Newey-West fixed Bandwidth, optimal prewhitening lag selected based on AIC). For the DOLS, the optimal lead-lag was selected based on AIC. |