Document Type
Journal Article
RIS ID
25099
Citation
Cooray, Arusha V. and Felmingham, Bruce, 2008, Are Australia's savings and investment fractionally cointegrated?, International Journal of Applied Economics, 5(1), 48-53.
http://ro.uow.edu.au/era/926
Abstract
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.
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