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According to AK growth models, permanent changes in investment rates have permanent effects on a country’s rate of economic growth. Jones (Quarterly Journal of Economics, 1995, 110, 495-525) finds strong evidence supporting this finding in his review of the time series properties of GDP growth rates and investment output ratios in fifteen OECD countries for the period 1950–1988. This paper tests the same hypothesis in four OECD countries over a much longer period (1870–2002 for Canada, the UK, and the US, and 1885–2002 for Japan). Instead of using classical approaches based on stationary I(0) or unit roots I(1) processes, we use methodologies based on fractional integration. After examining the order of integration of GDP growth rates and non-residential investment ratios for these countries, we do not find much evidence that contradicts the “growth effects” prediction of AK models. In fact, we only find clear evidence against this theory for the UK case. JEL Classification ' C22, O40.