實質GDP 水準, 包含實質GDP 和每人實質GDP, 為衡量國家景氣循環與生活水準的總體指標, 若能評估其正確的長期趨勢, 將能為政府決策帶來重要的參考依據。本文針對OECD 20國的實質GDP 與23國的每人實質GDP 進行兩種單變量和六種追蹤資料的單根檢定分析。其中傳統單變量與第一、二代追蹤資料單根檢定共七種方法, 普遍得出OECD 國家的實質GDP 水準具有單根的結論, 與之前未考慮結構性變化的文獻結果相符。

但現今跨國貿易與經濟活動頻繁, 再加上經濟衝擊可能對經濟變數產生平滑性變化的影響, 故本文引用Lee and Wu (2012) 允許橫斷面資料相依性和異質平滑性變化的BCIPS 追蹤資料單根檢定, 進行OECD 實質GDP 水準的實證分析。檢定結果發現: 在考慮平滑性變化下, 實質GDP 以及拉氏價格與連鎖價格的每人實質GDP 皆顯著拒絕單根, 表示考慮平滑結構性變化後, 經濟衝擊對實質GDP 水準並不會造成長期的影響。

Real GDP levels, including real GDP and real GDP per capita, if we can estimate their long-run trends correctly, it will be able to provide an important reference for government policy. This paper applies two univariate unit root tests and six panel unit root tests for real GDP and real GDP per capita in 20 and 23 OECD countries, and seven tests of them generally point out that real GDP levels both have a unit root. The results are consistent with earlier research without structural breaks.

Because of the active international trade and economic activities, we apply the panel unit root test with cross-sectional dependence and heterogeneous smooth breaks, proposed by Lee and Wu (2012), to an empirical analysis of OECD real GDP levels. Our results conclude that both of real GDP and real GDP per capita (Laspeyres and Chain Series) reject the null hypothesis that each of them has a unit root.

1 緒論 1
1.1 研究動機 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 研究目的 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.3 研究架構 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
2 文獻回顧 3
2.1 傳統單根檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2.2 追蹤資料的單根檢定 . . . . . . . . . . . . . . . . . . . . . . . . . 4
2.2.1 LLC 追蹤資料單根檢定 (Levin, Lin and Chu, 2002) . . . . . . . . 5
2.2.2 IPS 追蹤資料單根檢定 (Im, Pesaran and Shin, 2003) . . . . . . . 6
2.2.3 CIPS 追蹤資料單根檢定 (Pesaran, 2007) . . . . . . . . . . . . . . . 7
2.3 相關實證文獻 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
3 研究方法 11
3.1 理論模型 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
3.2 誤差項序列不相關的單根檢定 . . . . . . . . . . . . . . . . . . 13
3.3 BCADF 追蹤資料的單根檢定 . . . . . . . . . . . . . . . . . . 14
3.4 誤差項序列相關的單根檢定 . . . . . . . . . . . . . . . . . . . . 15
4 實證分析 17
4.1 資料來源說明 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
4.2 敘述統計量性質 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
4.3 傳統單根檢定結果 . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
4.4 第一代追蹤資料單根檢定結果 . . . . . . . . . . . . . .. . . . . 25
4.5 BCIPS 與 CIPS 追蹤資料單根檢定結果 . . . . . . . . . . 27
5 結論 31
參考文獻 33
附錄 38

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