posted on 2024-11-14, 05:57authored byArusha Cooray, B Felmingham
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.
History
Citation
This article was originally published as Cooray, AV and Felmingham, B, Are Australia's savings and investment fractionally cointegrated? International Journal of Applied Economics, 5(1), 2008, 48-53.