本篇研究採取 Kapetanios and Yongcheol (2006)使用 Three-regime SETAR模型在 Wald原則下導出極限分配,以及檢定是否為非線性整合方式 ,並且建議用 supremum、 average and exponential average三種方法 ,檢定門檻值是否存在。實證結果採取台幣對美元、日幣、英鎊、歐元等四國名目及實質匯率去驗證是否有非線性的調整,亦即是否存在匯率目標區。結果發現台幣對美元存在門檻效果且過程中確實有不連續性的調整。

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1緒論 4
1.1研究動機與目的 ........................... 4
1.2研究架構 .............................. 5
1.3文獻回顧 .............................. 6
2單根檢定 8
2.1 Dickey-Fuller檢定 ......................... 9
2.2 Augmented Dickey-Fuller檢定 .................. 10
2.3 Phillips-Perron .......................... 13
2.4 ADF-GLS t檢定 ......................... 15
3計量方法與模型介紹 17
3.1 Globally Stationary SETAR模型 ................ 18
3.2檢定 Globally Stationary SETAR模型 .............. 19
3.2.1對稱 SETAR模型 ..................... 24
4實證分析 25
4.1資料來源 .............................. 25
4.2單根檢定 .............................. 26
4.3非線性檢定 ............................. 28
5結論 32

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