A multivariate cointegration analysis of the role of energy in the US macroeconomy

This paper extends my previous analysis of the causal relationship of GDP a nd energy use in the USA in the post-war period. A majority of the relevant variables are integrated justifying a cointegration analysis. The results show that cointegration does occur and that energy input cannot be excluded from the cointegration space. The results are plausible in terms of macroe conomic dynamics. The results are similar to my previous Granger causality results and contradict claims in the literature (based on bivariate models) that there is no cointegration between energy and output. (C) 2000 Elsevie r Science B.V. All rights reserved. JEL classification: Q41.