長期購買力平價說為匯率決定的重要理論，現今關於購買力平價說探討文獻眾多，卻仍然沒有一致性的結論。本文利用Im, Lee and Tieslau (2010)所提出的追蹤資料單根檢定模型， 此模型不僅允許截距項及斜率項的結構性改變，且也將結構性改變皆放入虛無及對立假設中。實證分析藉由實質匯率是否具有恆定性來判斷長期購買力平價說是否成立，資料選取亞太地區七個國家-台灣、日本、韓國、泰國、印尼、香港以及新加坡進行實證分析。
實證結果顯示不論是利用消費者物價指數或是躉售物價指數為物價基礎，增加考慮結構性改變以及利用追蹤資料檢定皆明顯的更強烈支持購買力平價說成立，且其中以躉售物價指數為物價基礎時，顯示支持購買力平價說成立的國家數多。

Purchasing Power Parity (PPP) is an important theory of exchange rate determination. The documents probing into the PPP theory are voluminous nowadays; however, there hasn’t been an agreed conclusion yet.
In this paper, we apply the Panel Lagrange Multiplier unit root
test, a newly developed panel unit root test that allows for heterogeneous
breaks, under both the null and the alternative, in both the
level and trend of the series under investigation, addressed by Im, Lee
and Tieslau (2010). The validity of PPP theory can be examined by testing the stationary of real exchange rates. We use the data chosen from the countries of Asia, including Taiwan, Japan, Korea, Tailand, Indonesia, Hong Kong and Singapore to proceed the positive analysis.
The result shows that no matter we use CPI or WPI as the price index, both considering more about the structure breaks and using the panel unit root test strongly support the PPP theory. And it also shows that when using the WPI as the price index, there would be much more countries support the PPP theory.

1 緒論 1
1.1 研究動機......................................................................1
1.2 研究目的......................................................................2
1.3 研究架構......................................................................3
2 文獻回顧 5
2.1 實證文獻探討...............................................................5
2.2 單根檢定的演進...........................................................7
3 研究方法 10
3.1 模型假設....................................................................10
3.2 單變量的LM 單根檢定................................................12
3.3 追蹤資料的LM 單根檢定............................................16
3.4 考慮個體之間的相關性..............................................18
4 實證結果分析 21
4.1 資料來源與說明.........................................................21
4.2 傳統單根檢定結果.................................................... 22
4.3 具有未知結構性改變時點的單根檢定實證結果..........24
4.3.1 允許一個未知結構改變時點的ZA 檢定實證結果.....24
4.3.2 允許兩個未知結構改變時點的LP 檢定實證結果.....25
4.4 追蹤資料LM 單根檢定實證結果................................27
4.4.1 允許一個未知結構改變時點ILT1檢定.....................28
4.4.2 允許兩個未知結構改變時點ILT2檢定.....................30
4.5 結構性改變時點的討論..............................................33
5 結論 35
參考文獻 37

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