Rolling window regression with window size 50 years resulted in 202 regressions.

These are preliminary results.

Titles of the subplots are null hypotheses. Point above the red dotted line
indicates the rejection of the null. There is a strong evidence of one cointegrating
relation. Therefore, I estimated VECM with one cointegrating relation,
cointegrating vectors are normalised to gdp.

Toda Yamamoto erogeneity tests to assess the causal relationship between the
series over time. This test is slightly different from the usual Granger causality
test in that this test incorporates the level information in integrated systems. We
can preserve the information in prices which would be lost (due to differencing of
prices) if the usual granger causality test is used.
For now, the test are for causality from prices to gdp, I will do the test for all
causal directions.
In the graph, subplot titles are the H-nulls.

Blue dotted line: 10% line

Red dotted line: 5% line
(Granger) causal relationship changed over time

IRFs are estimated for 10 periods and the plots show irfs for a certain period over
time/samples. Impact of price changes are higher in recent years.
Power GDP

HeatGDP

Land TransportGDP (spikes in reaction in samples from 100 and 150)

Variance Decomposition Analysis