RDP 8709: A Note on Aggregate Investment in Australia Appendix

Warwick J. McKibbin and Eric S. Siegloff

October 1987

Table 1: Estimation Results
Parameters and regression statistics Capital stocka Capital stockb
ϕ=10 ϕ=20 ϕ=30
Parameters
γ3 −0.002
(0.058)		 0.0006
(0.003)		 −0.0001
(0.004)		 −0.0004
(.005)
s 0.074
(0.057)		 0.046
(0.025)		 0.103*
(0.050)		 0.171*
(.070)
β 0.171*
(0.073)		 0.128*
(0.040)		 0.144*
(0.053)		 0.166*
(0.747)
α 0.749*
(0.064)		 0.737*
(0.066)		 0.750*
(0.065)		 .760*
(0.066)
Regression statistics
R2 0.91 0.92 0.91 0.90
h −0.96** −1.03** −0.98** −0.97**

a. the capital stock series based on annual estimates of capital stock, ABS Cat#5221.0;
b. the capital stock series generated according to cost of adjustment theory (ϕ=10,20,30);
* significant at the 5 per cent level;
** comparison with the critical value at the 5 per cent and 1 per cent levels of the standard normal distribution indicates the absence of first-order autocorrelation.

Figure 1
Gross Business Fixed Investment Expenditure
(1979/80 prices)
Figure 1: GROSS BUSINESS FIXED INVESTMENT EXPENDITURE