總體經濟或財務理論之所以發生爭端，主要癥結不在理論之優劣，而是

實 (Empirical Issues)。為解決此種爭議，惟一方法，是藉助於實證的

支持 前為止，總體或財務理論的模型，大部分屬於隨機動態模型；因此

，傳統計量方法，不足適用。為處理縱斷面資料，Box & $ Jenkins

(1976)提出時間數列模型，以適用動態計量理論。但傳統的 Box &

Jenkins動態模於單變數分析；並且，是在數列□定的假設下，作模型之

認定、估計、檢此，遭遇許多批評 (註一)。事實上，大部分的時間數列

變數，皆具有非□者在面臨非□定模型時，應先對各別變數作單根檢定

(Unit Roots 單根時，應該對各別變數直接取差分，使非□定模型變

成□定模型。可是非□定經濟變數間，經常具有某種程度的關聯，此種關

聯，即所謂的「共egration) 關係。共積關係之所以產生，明白的說：可

能是各別變數的非生，主要是因為數列中含有隨機趨勢 (Stochastic

Trend) 項。一旦數列同的走勢，使得各變數間，在長期下，有一定的均

衡關係。例如，所得消下，所得 (Y) 和 消費 (C) 的關係式為C = c

Y (1.1)和 Y 本身為非□定數列，其將隨時間經過而呈

趨勢成長。一旦此兩個變數同走勢，長期下，所得與消費間將有一定的均

衡關係，即 (1.1) 式。而基(1.1) 式中，非□定 I(1) 之 C 和 Y 數列

，經線性組合後為 I(0) 數列稱 C和 Y_t 變數具有共積關係。，共積計

量理論的發展，首先由 Engle & Granger (1987) 所提出的兩階檢定(

Two Step Cointegration Regression Test) 為發端。主要的檢定方積迴

歸的殘差項是否為□定的隨機過程。另外，Stock & Watson

(1988)(1988,1990,1991) 分別自數列非□定角度和充分訊息概念，去驗

證多變數具有 (N-r) 個共同隨機趨勢，或存在 r 個共積向量。鑒於共積

計量理論進分配的性質，而且各種方法的探討架構亦不相同。所以，很難

在方法和統的比較分析。綜觀國外有關共積的研究，很少有比較不同的檢

定和估計梁志民 (1990)、蔡麗茹 (1992) 雖然也有提及，但仍屬部分。

故本文擬論，依共積體系之表現式、估計方法和檢定步驟，作更深入的比

較探討。臺灣總體經濟數列作實證研究，以探討其間可能存在的共積關係

。

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