本篇研究採用Hansen and Seo(2002)使用單一共整合向量與門檻值來檢驗兩區域向量誤差修正模型，並建議使用SupLM檢定門檻值的存在與否，再提出漸近分配及如何模擬漸近拒絕域。實證結果採用商業本票90天期利率與180天期利率去驗證，我們發現存在門檻效果且在達成均衡過程中確實有不一致的調整行為。

This paper uses a two-regime vector error-correction with a single cointegrating vector and a threshold in the error-correction term introduced by Hansen and Seo(2002). We propose a SupLM test for the presence of a threshold. We derive the asymptotic distribution and show how to simulate asymptotic critical region. Applying our methods to the 90-days and 180-days Commercial Paper rate, we find that there are an apparent threshold effect and inconsistent behaviors in the long-run equilibrium process.

目錄
1 研究動機 1
2 文獻回顧 2
2.1 利率期間結構理論………………………………………………2
2.2 預期理論的國內外相關文獻回顧………………………………4
2.3 共整合計量分析相關文獻………………………………………7
3 研究方法 9
3.1 單根檢定…………………………………………………………9
3.1.1 Dickey-Fuller檢定(DF檢定)…………………………10
3.1.2 Augmented Dickey-Fuller檢定(ADF檢定)………….11
3.1.3 Pillips-Perron檢定(PP檢定)……………………….14
3.2 傳統共整合檢定……………………………………………….14
3.2.1 Johansen 最大概似估計法…………………………….17
3.3 門檻共整合…………………………………………………….20
3.3.1 線性誤差修正模型……………………………………..20
3.3.2 單門檻兩區域向量誤差修正模型………………………21
4 實證分析 24
4.1 資料來源與處理……………………………………………….24
4.2 ADF單根檢定(Augmented Dickey and Fuller)…………….25
4.3 共整合檢定…………………………………………………….26
4.4 單門檻兩區域共整合檢定…………………………………….28
5 結論 33
參考文獻 34

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