本文以1950至2011年之年資料及季資料並利用Romano and Wolf(2005)的複檢定模型架構對OECD國家中21個會員國的通貨膨脹率進行單根檢定。Romano and Wolf(2005)之複檢定克服當國家數N大時會造成檢定力低弱的問題，同時也讓群體錯誤率(FWER)維持在等於或小於α的水準，為考慮到21個會員國可能存在著國與國之間跨個體的相關，本文採用拔靴法(bootstrap)來模擬臨界值，實證結果顯示，通貨膨脹率為定態的國家數皆高於由檢定力低弱的Bonferroni檢定以及Holm檢定所判定之國家數，然低於由錯誤率過高的ADF、DF-GLS檢定所判定之國家數，此結果說明Romano and Wolf(2005)的理論模型其檢定力優於Bonferroni檢定以及Holm檢定，且錯誤率低於ADF、DF-GLS檢定。

This paper employs a multiple testing technique to identify whether OECD countries’ inflation have a unit root. This multiple testing procedure controls the family-wise error rate at a desired level 0.05. Comparing to the Bonferroni’s multiple model and Holm’s multiple model, Romano and Wolf’s model is more powerful and it will reject more false hypotheses. This method also exploits the dependence structure between the countries with a bootstrap approach.

第一章 緒論 …………………………………………………………………… 1

第二章 文獻回顧 ……………………………………………………………… 4

第一節 複檢定模型之介紹與演進 ……………………………………… 4

第二節 單根檢定 ………………………………………………………… 7

第三節 追蹤資料的單根檢定 …………………………………………… 10

第三章 研究方法 ……………………………………………………………… 14

第一節 模型架構 ………………………………………………………… 14

第二節 檢定程序 ………………………………………………………… 15

第三節 拔靴法 …………………………………………………………… 21

第四章 實證結果分析 ………………………………………………………… 24

第一節 資料來源 ………………………………………………………… 24

第二節 檢定、 檢定 …………………………………… 24

第三節 複檢定、 複檢定 ……………………………… 27

第四節 複檢定 ……………………………………… 29

第五章 結論 …………………………………………………………………… 33

參考文獻 ……………………………………………………………………… 34


表(一) 、 之年資料檢定結果 ……………………………… 25

表(二) 、 之季資料檢定結果 ……………………………… 26

表(三) 法、 法之年資料檢定結果 ……………………… 27

表(四) 法、 法之季資料檢定結果 ……………………… 28

表(五) 複檢定之年資料檢定結果 ……………………… 29

表(六) 複檢定之季資料檢定結果 ……………………… 31

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