摘 要
自九0年代起，共整合(cointegration)的分析方法成為實證經濟發展的主流，大多是採用Johansen所提出的LR(Likelihood Ratio)共整合檢定法與最大概似估計法，由於該法適用於多變量模型分析，故一直廣受學者喜愛。但Rahbek(1994)，Saikkonen and Lutkepohl(1999)卻發現LR共整合檢定法的local power偏低，故Lutkepohl and Saikkonen(2000)即針對此點提出LM(Lagrange multiplier)共整合檢定法，此法不但具有較高的local power，且於小樣本時檢定力也較LR高，而其所建構之檢定統計量獨立於趨勢項，不受未知參數的影響。因此，本文擬採用LR與LM兩種共整合檢定法，模型則引用Johansen(1994)所提出的 模型，限制時間趨勢至多為線性趨勢(linear trend)，而LR檢定方面則分別採用Johansen(1994)的 與Perron and Campbell(1993)的 檢定﹔LM檢定則應用Lutkepohl and Saikkonen(2000)所發展的LM與 檢定統計式，應用LR檢定與LM檢定於本文實證研究上，並加以比較分析。
本文的研究對象為台灣實質貨幣需求函數，實證期間為1971年第1季至2000年第4季，共120個樣本點。由傳統實質貨幣需求基本三變數模型，進一步建立具有開放經濟體系及金融投資活動之台灣實質貨幣需求模型。主要結論如下:(1)不論以 檢定或 檢定，皆顯示台灣實質貨幣需求(M2)與實質所得(Y)、短期名目利率(R)、匯率(Ex)以及股價指數(SP)之間存在一組共整合關係。(2)以LM檢定，共整合檢定結果與LR檢定之結果一致，台灣實質貨幣需求間存在一組長期關係為M=1.143+1.637Y-0.633R-0.829Ex-0.153SP。(3)檢定力分析方面，LM檢定的確較LR檢定具有較高之local power與小樣本時檢定力較高的特性。

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目　　錄

第一章 緒論……………………………………………………………1
第一節 研究的目的與動機…………………………………...…...1
第二節 研究方法與本文架構……………………………………..4
第二章 相關文獻回顧與理論模型……………………………………5
第一節 相關文獻回顧……………………………………………..5
第二節 貨幣需求理論基礎………………………………………20
第三章 研究方法介紹………………………………………………..25
第一節 單根檢定法………………………………………………25
第二節 二階段估計法……………………………………………30
第三節 最大概似估計法與LR共整合檢定……………………..33
第四節 LM共整合檢定……………………………………….….42
第四章 實證分析……………………………………………………..52
第一節 變數的選取與資料的處理………………………………52
第二節 單根檢定…………………………………………………53
第三節 最適落後期數選擇與誤差項檢定………………………59
第四節 共整合檢定………………………………………………62
第五節 檢定力分析………………………………………………69
第五章 結論與建議…………………………………………………..75
第一節 結論………………………………………………………75
第二節 建議………………………………………………………77
附錄……………………………………………………………………..78
參考文獻………………………………………………………………..85

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