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Social and Behavioral Sciences Commons

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Behavioral Economics

University of Wollongong

Faculty of Commerce - Papers (Archive)

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Full-Text Articles in Social and Behavioral Sciences

Are Australia's Savings And Investment Fractionally Cointegrated?, Arusha V. Cooray, B. Felmingham Jan 2008

Are Australia's Savings And Investment Fractionally Cointegrated?, Arusha V. Cooray, B. Felmingham

Faculty of Commerce - Papers (Archive)

This paper uses an Autoregressive Fractionally Integrated Moving Average (ARFIMA) process to determine if Australia’s savings and investment are fractionally cointegrated. The study finds the two series to be fractionally cointegrated implying that deviations from equilibrium are persistent.