'()*( +,"%-.( +" !"#$%& 111- 133 :";<= 81389 29*" 844 45"67 81,23" /"0 @'()*( +,"%-.( A75 )B '> )9CDE F-<3 +"4,5>)& ?)%! FGH)9I ,)J*5 K* &'($)*+ ,!-#./ 01 !" !#$% 89/9/16 :#$%& 89/3/29 :!" +5"9NOB '()PNQ R0SE +,"%-.( A75 +L)3( ?)%! M9B GB(5 J#*( 1I5 B "NB U(AV ) -7(A3 F3"OJ* W*"-3 :"XY"G! M*( "!( @Z0(-&)T 5(). F05)B ,5S! "N[#*( 2N\ NXY"G! ,5S! +"5SQV 8/A! +")9]-! 8XY"G! F3"!^ 45, B \SE :"9NN_)& 8ANN75 :"9NN_)& FNN#X* 8NN#9!^ MNN*(5, ,SNN\S! 9NN_)& 5"NN[` ^( FNNJ* MN*( 5, .AN3(4,)V A9*DE (5 +,5SH^"B :"9_)& "* F*"a#H :"9_)& 8F*S\&)= M*( b"0( )B .19*"63 'S!^> (5 '()*( 5SQV 5, A75 :"9_)& 19(SHF! 8 "NB 5Sd#! M*AB .,S7F! +,"%-.( A75 c\S! +L)3( ?)%! 5, *(2&( :"9_)& +,"N%-.( AN75 NGB(5 (STR) 1*e! /"f-3( FGH)9I 'S90)T5 /A! ^( 4,"<-0( 5()N. FN05)B ,5S! (5 1386- 1352 45, 5, '()*( 5, F-<3 +"4,5>)& ?)%! +"N4,5>)N& ?)N%! +,"%-.( A75 GB(5 V A,F! '"Q3 "-&"* .19,F! +,"%-.( A75 GB(5 U"d3 , ) 5, 4,SB F!"d3 , 5"-H"0 +(5(, '()*( 5, F-<3 5, F<#! g"hE5( M*( :A7 8M6_ 5, .Z0(4,SB F<#! F-<3 +"4,5>)& ?)%! MN*( ',SNBFN<#! .Z0( )-T52B ,S7F! i!"7 (5 1362- 1353 45, V /( U"d3 )N9hXE +L)N3( ^( 4,"<-0( 5, F*(5"V"3 ,S\ )B +A"7 '(S#j B '(SE F! (5 GB(5 NGB(5 KN* ,S\ )B F#h! A75 :"9_)& W*"-3 M*( b"0( )B 8M*( )B '2&( .,S63 .,S7F63 A9*DE '()*( 5SQV 5, +L)3( ?)%! +,"%-.( A75 M9B Zha! .673 $889 *:;<$8= ->'() *+,$, *-"./0, (1 *-2$3, 4$.) :+A9$V +"4L( .Q43 *O13 *C22 :JEL +A#Bfhm [email protected] [email protected] .@$A BCD3," "./0, BE$F "/?, .@$A BCD3," -@K)3$L E -"./0, KM?I (1,:?G1H -IJD3," 44 45"67 1,23" /"0 '()*( +,"%-.( +" !"#$%& 112 !Af! .1 ST1 KTL (T8NI (TGU$! " :VTW, -T>B"O3 P, :Q +,IGR KL -2$3, -"./0, -> 8NM! $/D8L " -2$3, 4$.) [8L \A, BI]3 +,$CD>E^& K0_R "I) -> XIYI) P, :Q Z8N" [8S> KL ."E:) *B(1a$;) KH :>K$73 E B(16J3, 83" " +IGH KH :MN;) `?, $L .?, -"./0, (1 E @T83 +,$, " ."," :M;0 $73 b> -E $L >$89/) [, -,%F$c, BI]3 E 8VR Od BL" +,I:S3 6TJ3, -"T./0, (T1 E -2$T3, 4$T.) [8TL KT;L, [88M -,$L *:;< ->(GU$! K& $L :MN;) BIT]3 E :3T)P (T3E P, :LI< e$f gMN;) [, Kh $F, ?, +U KdI ZL0 K/Q3 ), i?, B(1 -,%TF$8cj KTH T8M0,E [T, [/!$F B("3 ), *(3"EU ?"KL b> -E >$89/) [, -,%F$8cj h" , -"./0, +,$8Fb8S. ?, [QS) *(1L +kQ (3,I:S3 B,IS> b> -E $L >$89/) [, .(GH BA/1, E -"T./0, (T1 [8TL KT;L, (STR) 1bT_) 'f/3, :;<$8= +I8?$F '() L l>E^& [, " ,$T0 :T?$L "IT) , (T1 g8TY$! `T?, $TL -2$T3, mTAG) +,ITGR KL :/n3 -> B"EU$! 4$.) K/<T? @TS/) $TC" -T>l>E^T& P, , l>E^& [, Z8N" (Gh KL STR #E P, B"n/?, .b,B"," :?, Z(TM KN"M) E "," b/k8? 8MYE KL :C/kL -"./0, (1 E -2$3, 4$.) [8L K;L, .1 " "T./0, KTH (T1LK/T1," :/8MYE E 673 KL :C/kL E B"IA3 Lc (3,I:) O3U [8L I& '() KH "$8F ,$0 $73 () KG8)P [, " gMN;) " (L K/Q3 [, *[,$LGL ."," ,$0 +U ."," , $), [, +"IS3 p]N 8VL0 STR '(T) qT?I ,@T3E" gITW KL -/<? ->kQ1 >673 " $889 STR '() " .2 KT3F,(d :T?$L T E :)IT>I) $T89/) +"$TH",E KTL -PT83 *[,$LGL ."I1:) rsD) .k83 -/<? kQ1 , 6T73 $T889 +T)P E gTM!" ",(TM +"$THrsTD) 8VL0 KQG, $L BE_R STR '() .3 .(>" +D3 @83 , $C" 673 KL 673 t P, 'f/3, R$? *"," lsL *l>E^& g8L", 'E, lsL " K)(f) +8L P, u& :?,B(1 b87G lsL 4 " KMN;) [, E -$T8FKTJ8/3 :3& lsL " O3 " E :L$J ->K/! 6I? lsL *l>E^& :?G1#E 6E" .b,B"$H a$;) , >"OGD8& 1. Smooth Transition Regression 113 ... '()*( +,"%-.( A75 )B '> )9CDE F-<3 +"4,5>)& ?)%! :"9B,( .2 +)d3 F3"h! .1-2 l,@T!, " -2$T3, KTQG, KTL KTdI TL ."," >IDH -"./0, KM?I E (1 " :SO) lf3 -2$3, +3,""./0, *(GH:) -PL , :??, :Df3 ",$!, :F(3P ->,(3/?, E (8NI Z),IR -EB$OL v;? `T?, $TL 1.(T3,B"$TH (T8Hj -"./0, KM?I E (1 E -2$3, 4$.) [8L wGCG K;L, "IdE $L E (T8NI mLT xT$y P, -"./0, (1 E -2$3, 4$.) [8L K;L, [, Z8V] *-"./0, +_H g8L", bO) B"O3 t +,IGR KL -2$3, KH e8$ [(L .?, $k8) "./0, ZH -Yf E KY$R ->:G]G) 'Tf/3, TL ."I1:) $JG) (8NI mL -{L S? KL 'f/3, KL +U l,@!, E B(1 zIk]) (8NI mL " +"ITA3 -"ITSR |$T! TL E B(T1ZTf/G) T?, S? KL (AS) "./0, ZH KY$R :G]G) (8NI mL 2 .(L:) l,@!, :N"M ()U" E (8NI *(AD) ZH -Yf :G]G) ->K$73 " -"./0, (1 $L -2$3, 4$.) ,%F$8cj lf3 1970 '? :/n3 +,$]L P, l8& *TH -E$T83 P, :MLT -"T./0, (T1 T>t8?_HI}3 (8NI mL xL;) .(1 K/!$F B("3 -"./0, (T8NI " -E$TY B"TO3 tT +,ITGR KL -2$3, lf3 KL +U " KH ?, -2INIGQ v;? E K)$? (T1 " -2ITNIGQ lTf3 +","+TD3 -,$TL ZH -EB$OL Z)R P, mL [, " .?,B(D3 -,B1, -T>$89/) qT?I KTH T?, -"./0, (1 P, :DsL ZH -EB$OL Z)R) "I1:) B"n/?, -"./0, -,$TL B"," tT +,ITGR KTL -2$3, *BPE$), '~ [, L .(?,B(D3 B"," v8YI K)$? E H -E$83 +3,""T./0, T (T1TRL 1970 'T? :T/n3 +,$T]L ."I1:) zIk]) gE$Y t (8NI ,$S/?, " .(TGGH a$T;) K)$T? E TH -E$T83 -T>B"O3 GH " bO) (8NI Z)R t +,IGR KL , -2$3, -$TbO) lf3 -2$3, 2000-1981 BE" -,$L KH "," +D3 (1 6J3, 3IEA q?I KH KMN;) t 4 .?, B"$H -PL KM?I '~ " ->IDH -"./0, (1 " $C" ->$89/) KL Ak3 , -2$T3, ,%TF$8cj lf3 $L +3,""./0, $? P, l8L (1 :Q@8!I8L -ICN, ,(!$y +3,""./0, g(T1 KTL -"T./0, (T1 *(T1 :Q@8!IT8L -ICN, " .(3,B"$H (8Hj >IDH -"./0, (1 " 4$T.) KTL "T./0, :C/kL,E +,@8) KL :C/kL $8cj [, g(1 +,@8) KH "," ,$0 -2$3, $8cj ] ZT),IR K)$T? E TH -E$T83 KTH T?, [T, +3,""./0, P, BE$F [, '{(/?, `?, ."," -2$3, 1. Adnan Hye and Riaz, (2008), p. 45 3. International Energy Agency 4. Erbaykal, (2008), p. 172 56 . *(1388 )*+,QS> E -"IAOL .2 44 45"67 1,23" /"0 '()*( +,"%-.( +" !"#$%& 114 (T1 ZT)R [$bO) -2$3, *[,$LGL .(3," P83 -2$3, 4$.) KL B"n/?, -,$L KH (G/k> -, K;?,E 1 .?, -"./0, -"TT./0, (T1 E -2$T3, 4$T.) [8TL KT;L, :T?$L KTL KTH , :T>K8TY$! *:TVH ITy KTL -T>K8TY$! *2(T1 -T>K8TY$! :P, (TGAR KTH "$TH b8Tkf K/T?" TOh KTL +,I :) *(3,K/<,"$& -"T./0, (T1 -T>K8TY$! xLT;) 5.:TG< -T>K8TY$! E 4-"I<PL ->K8Y$! *3:IdK!$W $TL b8f/k)$8= E b8f/k) gIW KL -"./0, (1 " B(GGH[88M KnN) t +,IGR KL -2$3, 4$.) KTH :>?8? *>K8Y$! [, `?, $L .",%F:) $c, K)$? -"IdI) E H -E$83 (8NI Z),IR `T?, $TL .(T3," -"T./0, (T1 $TL :LIV;)T3 $Tc, (3I1:) s, -2$3, 4$.) l>H 4(> L (G3,I:) *(3I1:) :~,$y -2$3, 4$.) l>H 4(> L KH :>?8? :IdK!$W ->K8Y$! K;L, t "IdE $L >K8Y$! [, KH ?, Z8N" [, KL [, .(1L K/1,(3 -"./0, (1 $L :nG) $8cj KTL -"I<PL ->K8Y$! *ZLf) " .(3," (8Hj -2$3, 4$.) KL -"./0, (1 P, K!$yt :VR KTH (TGGH:T) +8L E K/1," (8Hj -2$3, 4$.) E -"./0, (1 [8L K!$yE" :VR K;L, t "IdE xLT;) *TO3 " .(T3,%F:T) $8cjT bT> -E $TL +)Pb> Iy KL -"./0, (1 E -2$3, 4$.) +,,(T!$y E [T, P, ."," -"./0, (1 $L :H(3, $nW $8cj -2$3, 4$.) *:G< ->K8Y$! :TnG) $8cj -2$3, :IdK!$W ->?8? KH (3,B(8fR [, $L :/8A ->K8Y$! (G3) >K8Y$! [, (T1 E -2$T3, 4$T.) [8TL :VR K;L, "IA3 $L :G< ->K8Y$! *m0,E " .",(3 -"./0, (1 $L KTH :>ITDH " $/TD8L -"T./0, (T1 -T>K8TY$! KTH T?, :TG/nF 6.(T3," (T8Hj -"./0, 4(T> TL KTH :T>T?8? Ts, *[,$LTGL .(T1L:T) "TW *?, $/D8L -2$3, KL O3U :C/kL,E *[STY " .(GH:) t$] , >IDH [, -"./0, (1 "I1:) s, -2$3, 4$.) " l,@!, $T/SH -2$T3, KTL TO3U :C/kL,E +,@8) KH ?, "W :>IDH " $/D8L :IdK!$W ->K8Y$! 7 1. Tsani, (2009), p. 2 2. Growth Hypothesis 3. Conservation Hypothesis 4. Feedback Hypothesis 5. Neutrality Hypothesis 6. Belke et al, (2010), p. 4 7. Nondo et al, (2010), p. 5 .?, 115 ... '()*( +,"%-.( A75 )B '> )9CDE F-<3 +"4,5>)& ?)%! FB)nE :"XY"G! #9Q9 .2-2 -8TTkL +,$CTD>E^& KTTdI "IT) PTTL$" P, -"T./0, (T1 E -2$TT3, 4$T.) [8TTL KT;L, KTMN;) ."$THB1, (1978) 1!,$H E !,$H KMN;) KL +,I:) gMN;) [, [$:S(0 P, KH K/!$F,$0 " TQ$)U " -"T./0, (T1 E GDP [8TL :VR K;L, :?$L KL "I< KMN;) " !,$H E !,$H GDP P, KT!$yt :VR K;L, t KH "," +D3 O3U ->K/! .(G/<,"$& 1874-1947 :3)P BE" KT;L, :T?$L KTL ITDH < " -"P gMN;) >(ML ."," "IdE Q$)U " -2$3, 4$.) KL *KTMN;) "IT) :3T)P BE" KTL KTdI TL gTMN;) [T, P, 6 ,(TH $T> KH (G/<,"$& $89/) E" [, [8L :TGM *KTG8)P [," "IdI) K8Y$! Oh P, :Q OG, @d E KMN;) "I) ->IDH *'() ->$89/) " gMN;) [, P, -",(M .(3,B"$H (8j , -"I<PL E :G< *:IdK!$W *(1 ->K8Y$! "IT) tT8GQ E #E *KTMN;) "IT) ->ITDH T ITDH *:3T)P BE" KL KdI L IDH < 1 'E(Td eN0 " , +U /3 KH *(3,K/!$F ,$0 Z8V] E K@J "I) B(1#,@F /3 E B"n/?, .b,B"$H K,, E KT/<,"$& -"T./0, (T1 E -2$T3, 4$T.) [8L K;L, :?$L KL :MN;) @83 IDH Z<," " :T?$L KTL (1376) -"TA0 .(T3,B"$TH #,@TF , :En/) /3 :?$L "I) BE" E #E KL K/kL E KT/<,"$& $J3$F 8VR t8GQ P, B"n/?, L -"./0, (1 E -2$3, 4$.) [8L g()BIH K;L, bT> $TL 'kQ P, $/SH :3)P KVW! " K!$y E" 8VR K;L, t ()U" E -2$3, KH (>":) +D3 E B"$TH (T8j , $89/) E" [8L g()(GVL K;L, t "IdE :C/1A3,b> K;L, :?$L L -"A0 .(3," 6,(TH $> -,$L g()(GVL '"M -I? KL H$~ E Z(M R$? ;< v8]. '() P, -$8FB$OL L T;< v8]T. -ITCN, P, B"n/?, L (1380) :n;.) E :SD$L, .?, B"$H KA?]) , >$89/) P, -1338 BE" " +,$T, " :T/n3 B(TSR -T>B"EU$T! 4$.) E -"./0, (1 [8L K;L, :?$L KL rNT<3 (T8NI KTL :T/n3 B(TSR -T>B"EU$T! 4$.) P, :VR K;L, (3,B"," +D3 E K/<,"$& 1378 .",(3 "IdE g()BIH " :V<," 1. Kraft and Kraft 44 45"67 1,23" /"0 '()*( +,"%-.( +" !"#$%& 116 5SQV o5"H iH(, 5, -&)T:5S= FB)nE :"XY"G! =eH .1 /A\ /3 4$.) E -"./0, (1 [8L K!$y E" :VR K;L, t -2$3, "IdE -2$3, 4$.) S? KL (8NI P, :VR K;L, .k83 (8NI :VR K;L, -2$3, 4$.) :NE K/1," t8GQ E #E KMN;) "I) ->IDH E BE" +,$CD>E^& $J3$F 8VR (1993- 1955) +,I Hwang and Gum (1992) Ik8> 8VR (1955- 1993) +,I Cheng and Lai (1997) ECM E $J3$F - ZC3, (1985- 1950) {S,IF Nachan et al (1998) $J3$F 8VR (1948- 1994) Q$)U Stern (2000) $J3$F 8VR (1997- 1954) +,I Yang (2000) $J3$F 8VR (1961- 2000 ) B$H Glasure (2002) (1970- 1999 ) B$H Oh and Lee (2004) (1953- 2002) [8h Zou and Chau (2005) "IdE E K3,$? :M0,E GDP $L -2$3, 4$.) A) $c, KL K3,$? -2$3, 4$.) P, K!$y t 8VR K;L, t K3,$? :M0,E GDP (1 KL -2$3, 4$.) P, K!$y t :VR K;L, -"./0, 4$.) E -"./0, (1 [8L K!$y E" :VR K;L, t -2$3, GDP E -2$3, 4$.) [8L K!$y E" :VR K;L, t lf3 n3 S80 KH :N~ " *"," "IdE .(GH:) -PL , -,B(GGH[88M (1 KL -2$3, 4$.) P, K!$y t :VR K;L, -"./0, $J3$F 8VR *GDP E n3 4$.) [8L :C/1A3,b> K;L, "IdE ->BE" -,$L g()(GVL " K!$yE" :VR K;L, "IdE :VR K;L, "IA3 *2002- 1985 E 1984- 1953 :3)P E :C/1A3,b> t8GQ K;L, "IdE E 1984- 1953 BE" " g()BIH " $J3$F 8VR -,$L g()BIH " GDP KL n3 4$.) P, :VR 2002- 1985 BE" K;L, "IdE *IDH 9 " :C/1A3,b> K;L, "IdE *IDH 6 " :Q$/QN, -2$3, 4$.) KL GDP P, :VR E :C/1A3,b> t8GQ :f$!U IDH 17 GDP KL :Q$/QN, -2$3, 4$.) P, :VR K;L, "IdE $J3$F 8VR (1971- 2001) Rufael (2006) IDH 3 " K!$yE" :VR K;L, "IdE E IDH 3 " E GDP E -2$3, 4$.) [8L :C/1A3,b> K;L, "IdE E :C/1A3,b> t8GQ -2$3, 4$.) KL GDP P, K!$y t :VR K;L, t $J3$F 8VR (1970- 2003) K8H$ Lise and Motfort (2006) " -2$3, P, $/D8L B"n/?, Z8N" -"./0, (1 " *(1L:) 3)& E ",INkN, *Q/?H ->IDH *KIF,Q83 *`,E(G> ->IDH " KH :N~ :M0,E GDP $L :H(3, $nW $8cj -2$3, 4$.) .?, K/1," (ML K]nW " K),", t8)G" Z3& *3)& E ",INkN, *Q/?H KIF,Q83 *`,E(G> Chontanawat et al (2006, 2008) 117 ... '()*( +,"%-.( A75 )B '> )9CDE F-<3 +"4,5>)& ?)%! 5SQV o5"H iH(, 5, -&)T :5S= FB)nE :"XY"G! =eH .1 /A\ !(,( /3 t8GQ E #E KMN;) "I) ->IDH E BE" +,$CD>E^& :C/1A3,b> t8GQ (1970- 2003) K8H$ Erbaykal (2008) (1971- 2007) +/kH& Adnan Hye and Riaz (2008) " n3 E :Q$/QN, -2$3, E" 4$.) A) $c, -2$3, 4$.) A) $c, E -"./0, (1 $L g()BIH -2$3, 4$.) :nG) $c, E -"./0, (1 $L n3 .g()(GVL " -"./0, (1 $L :Q$/QN, E" [8L g()BIH " K!$yE" :VR K;L, t "IdE KL -2$3, 4$.) P, K!$yt :VR K;L, t E $89/) E :C/1A3,b> t8GQ 4$.) :nG) -,%F$c, *g()(GVL " -"./0, (1 $J3$F 8VR .g()(GVL " -"./0, (1 $L -2$3, 4$.) KL GDP P, K!$yt :VR K;L, t "IdE 4$.) " -(W" 0/509 l,@!, E ZH -2$3, 8VR E VAR '() " -(W" t l,@!, $c, " 6, t BE" ZH -2$3, $J3$F (1953- 2005) :?,E$H Gelo (2009) (2006- 1960) +3I Tsani (2009) .6, t-1 BE" GDP ZH -2$3, 4$.) P, K!$y t :VR K;L, t "IdE 4$.) P, K!$y t :VR K;L, t *:M0,E GDP KL K;L, "IdE 6(R E GDP KL :/MGW E :C3< -2$3, II)) E ,"I ZS~ lsL " :M0,E GDP E -2$3, 4$.) [8L :VR .Zf3 E *:M0,E GDP [8L :C/1A3,b> K;L, t "IdE -E$83 E rN<3 Lc K)$? Z8QD *-2$3, 4$.) 4$.) P, K!$yt :VR K;L, t "IdE *H K;L, t E g()BIH " -"./0, (1 KL -2$3, " -"./0, (1 E -2$3, 4$.) [8L K!$y E" :VR .g()(GVL *`E_L *+JL U *+/kG), :C/1A3,b> + I)PU *+/?@80$0 *+/k0,@0 *+3I v8]. '() E :3E(& *+/kQ8d *K8?E *-E,(NI) (ECM) ;< +/kQLP, E [,$H, Apergis and Payne (2009) (1991- 2005) " rN<3 (8NI E :/n3 ->B"EU$! 4$.) [8L K!$y E" :VR K;L, t (G>":) +D3 *[8GS> TT8VR KTT;L, :TT?$L KTTL -,KTMN;) " (1383) [TTk]) `TTAR E B",PTTJ3 ."," "ITTdE g(T)(GVL #E P, B"n/T?, TL 1381-1350 BE" " +,$T, " -"T./0, -T>lsL (1 E -2$3, ->Z)~ -T>ZT)~ 4$T.) [8TL KT!$y E" :VR K;L, t (>":) +D3 O3U /3 .(G/<,"$& I8D> 8VR T8VR KT;L, :T?$L KTL (1384) X,P E [T)U ."," "ITdE -"T./0, -T>lTsL (T1 E -2$3, E" P, B"n/T?, TL 1381 -1346 -T>'? " +,$, " -"./0, (1 E -2$3, 4$.) [8L -$J3$F T8VR KT;L, tT "ITdE #E E" $T> T/3 .(T3,KT/<,"$& T;< v8]. E 1II)) E ,"I #E B"n/T?, TL *[SY " .(GGH:) (8j , :M8Ay PF 4$.) KL -"./0, (1 P, K!$y t -$J3$F 1. Toda and Yamamoto 44 45"67 1,23" /"0 '()*( +,"%-.( +" !"#$%& 118 [8TL (g(T)(GVL E g()BIH ")K!$y E" -$J3$F 8VR K;L, t "IdE ;< v8]. #E P, II)T) E ,"IT #E /3 `?, $L KH :N~ " .(3$8F:) KJ8/3 , -"./0, (1 E $L 4$.) E -"ITAOL ."," "ITdE -"T./0, (1 KL $L 4$.) P, K!$y t -$J3$F 8VR K;L, t OG -TYf K;L, :?$L KL ;< v8]. -ICN, E $J3$F 8VR #E P, B"n/?, L (1385) +,QS> (3$8F:) KJ8/3 E K/<,"$& 1383-1346 BE" " +,$, " -"./0, (1 L -2$3, -,K;?,E E :O3 KTH :NT~ " i"," "ITdE -"./0, (1 KL -2$3, :O3 -Yf P, K!$y t :VR K;L, t KH E -"ITAOL .T?, K!$y E" :VR K;L, t -"./0, (1 E -2$3, -,K;?,E -Yf [8L :VR K;L, TL , 1384-1346 BE" " +,$T, " -"T./0, (T1 E -2$3, 4$.) [8L K;L, (1388) +,QS> KTD -T>+IT)PU P, B"n/T?, TL /?, [, " .(3"," ,$0 :?$L "I) -/<? kQ1 $L (8Hj :TMSdbT> +IT)PU [8GS> E ,@3E" ZQ1 KL -/<? g,$889 [88M -,$L 1PE(3, -gIP (~,E KH (G>":)+D3 -/<? kQ1 $L (8Hj L g()(GVL K;L, :?$L I7G) KL 2[kG> --IC$F +,TQS> E B")U ."," "IdE +,$, -"./0, (1 E -2$3, 4$.) [8L A) g()(GVL K;L, t -ITTCN, [8TTGS> E (ARDL):MPITT -TT> KTTn0E TTL :/TTDFPL"I< -ITTCN, P, B"n/TT?, TTL (1388) 4$T.) E -2$T3, :TO3 4$T.) [8TL g()BIH E g()(GVL K;L, "IdE *(ECM) ;< v8]. -T>'T? " +,$T, "T./0, TV/s) -T>lTsL '9/1, E -"./0, (1 E -2$3, ->Z)~ :O3 E g(T)BTIH T8VR KT;L, tT "," +TD3 TO3U T/3 .(T3"," ,$T0 :?$L "I) , 1382-1350 "ITdE -"T./0, (T1 KTL $TL -2$3, :O3 4$.) E -2$3, :O3 4$.) P, K!$y t g()(GVL :TM8Ay PTF :TO3 4$T.) KTL -"T./0, (1 P, @83 K!$y t g() BIH 8VR K;L, t ."," KTL MGTW lsL " -2$3, :O3 4$.) P, K!$y t 8VR K;L, t *[, $L +E@!, ."," "IdE P, g(T)(GVL E g()BIH 8VR K;L, t *[8GS> ."," "IdE lsL [, " B"E@!, #P, (1 ."," "IdE lsL [, " B"E@!, #P, (1 KL -PEDH lsL " $L -2$3, :O3 4$.) F0"#7p5 .3 TO3U T/! E B"ITL :T;<$8= /! -,," :3)P -$? ->$89/) :<$L -"./0, ->K$73 `?,$L :T;<$8= -T>#E P, :/kL >$89/) K3IF [, KMN;) -,$L *[,$LGL *(1L:S3 Lc +)P :y " 1. Zivot and Andrews 2. Gregory and Hansen 119 ... '()*( +,"%-.( A75 )B '> )9CDE F-<3 +"4,5>)& ?)%! ,$T0 B"n/T?, "IT) :3T)P -$T? gT8L", " KTH :T;<$8= -T> '(T) P, KT3IS3 tT .!$F B$OL >(TGU$! 6TS )E@N *>'() [, `?, $L .?, 1(STR) b_) 'f/3, :3I8?$F '() *?,K/!$F gITW @T83 :),U KL (3,I:) >$/),& " g,$889 E B"IA3 K3/?U K;f3 'I~ ((1 g,$889 -,," [8T8A 3:TS3 mLT T 2t8/Tkd{ mLT qT?I V/s) ->673 [8L g{f/3, >'() [, " ."$8F ."I1:) KTL (2004) 4IT?,$ qT?I B(T1:T!$M) t8/Tkd{ 'Tf/3, mLT L ",(3/?, STR '() t :?, $P gIW yt % ( $ z t # !' $ z t " . G ! & , c, st " # ut & 7 , K / 2, 5 G ! & , c, st " % --1 # exp 4) & 6 ! st ) ck " 1 ** 0+ 3 k %1 . (1) )1 ,"$TTL ' E :T;< -T>$/),& ,"$TL ( *'(T) -,@TT3E$L -T>$89/) Z)T1 -,"$TL Z t *+U " KTH BIT]3 B(TG>"+TD3 ?, t8/kd{ mL t KH G mL *[SY" .?, '() :;<$8= ->$/),& c E 5:/<,ITGQ $/),T& & *'Tf/3, $T89/) $C3D3 s *mL [, " .?, $C" 673 KL :)73 P, 'f/3, [8TL ,(T3,$H E K/T?I8& mL t G 'f/3, mL .?, 673 $889 XI0E Z]) K3/?U (~ B(G>"+D3 S 'Tf/3, $T89/) (2000) 6+,TQS> E tT" +E qT?I B(1]L STR '() " .?, t E $nW KQAT1) ANN *(bT_) 'Tf/3, -T>'(T)) STR *(-,K3/?U +I8?$F) TR '() Z)1 K3/?U $L ZS/D) ->'() :VH Iy KL .1 $TL ZS/TD) -T>'(T) $? P, , '() [, KH ?, :>:F^E -,," STR '() .(G/k> 4IH) Z(A '() E (:RIG.) :A.R :(GH:) @S/) K3/?U .?, TR '() STR '() P, :W< N~ -"T./0, $8Tkn (T0! KTQG, +U E T?, :T??, ZQTD) tT -,," ), *"," >B"," -E :LI< #P,$L ANN '() Kh$F, 8 8 T), .T?, BP,(T3, P, l8TL #P,$TL -,," '(T) *(T1L "P 8kL >B$F ",(M :/0E KH ?, Z8N" [, KL [, .(1L:) :G1E ."," , -"./0, $8kn 8VL0 STR '() " e,$Y .?,@3E" b2 $889 [, STR '() " *"I1:) K/!$F $73 " ,@3E$L gIW KL 673 Z(A 4IH) Z(A '() 4_< $L 2. Logestic Function 3. Exponential Function 4. Terasvirta, (2004) 5. Smoothness Parameter 6. Van Dijk and et al, (2000) .(8GH KMd,$) (2002) +,QS> E t"+E E (6E" (Vd) `(3, KL $/D8L KMN;) -,$L 8 44 45"67 1,23" /"0 '()*( +,"%-.( +" !"#$%& 120 ",(TM K $/),T& .(T1L ,@T3E$L $T89/) "IT< T :3)P (3E *,@3E$L E ,@3E" $89/) ->Kn0E (3,I:) .(>":) +D3 , 673 $89 gM!" .(T>":) +D3 , 673 $m$? $889 & $/D8L $"f) E B"IL >673 [8L 'f/3, R$? B(G>" +D3 & (T>,I< G % T?, st ; c KTH :3)P E B"IL G % 1 BC3U st 7 c E & : 9 KH :)CG> KL 1 K;L, & : KH :)CG> ."I1:) Z(A 1(TR) -,K3/?U '() t KL 1 K;L, *[,$LGL *"IL ."I1:) Z(A :;< +I8?$F '() t :?, $P e8$ KL :??, KV~$) K? -,," STR '() "EU$L KT;f3 +,ITGR KTL KTH ?, AR :;< '() t b87G L KV~$) [, XE$1 :'() r8sD .1 KT;L, "ITdE +IT)PU Z)T1 6E" KTV~$) ."$T8F:T),$0 B"n/?, "I) Z8V] -,$L XE$1 .?, 673 $889 gM!" ",(M "I) " -$8Fb8S. E st zs/3, *>$89/) [8L :;<$8= "EU$L E :;<$8= "EU$L -,$L K8NE, e?G) $"f) [/! Z)1 KV~$) [, :'() "EU$L .2 .?, :SG/?" $H,(~ #E E 2+Ik!, -[I83 b/ICN, P, B"n/?, L '() :TnV/s) ->+I)PU L B,$S> :Q8!,$F ->Z8V] Z)1 {ISM) KV~$) [, :'() :LP, .3 KT;L, "ITA3 *V/s) ->673 [8L >$/),& +"ILLc *:C/kAS>"I< ->;< "IA3 $873 B"," v8TYI KT),", " KW_< Iy KL KH ?OG, @d E >(3Sk& " B(3S80L :;<$8= ."I1:) XIT3 P, :T;<$8= KT;L, "ITdE :T?$L -,$L +I)PU [, :>$89/) [8L :;<$8= K;L, "IdE +I)PU $T89/) $TF, ."$T8F:T),$0 B"n/T?, "IT) -T>6T73 ",(TM [8T8M E 'Tf/3, $T89/) r8sD *LSTR :"I1:) B"$L H KL $P :A$f +I8?$F *"I1 K/!$F $73 " z t P, -$.GR s t 'f/3, 3 yt % = $ z t # < = $j ~zt stj j %1 ( 2) :1," b8>,I< *(1A3 z t P, :/Sk0 st $F, .?, zt % !1, ~z t "$ *+U " KH 3 yt % = $ z t # < = $j zt stj j %1 1. Threshold Regression 2. Newton-Raphson (3) 121 ... '()*( +,"%-.( A75 )B '> )9CDE F-<3 +"4,5>)& ?)%! !" #$" %& '() H % =1 % = 2 % = 3 % gIW KL '() +"IL:;< $nW K8Y$! .'() F !" #$" *+, %+-./ !" 0).1 #$23() ;, <+=>? 0).1 @A$1 B@C $D.+E3 F+1 %61) 1567 %+-./ %8," !) 9: : !""#$ :.+N O$P,) 2 58K& J@ 0L .1 .A! 0$D!" %GHG( 567.+I J@ H 4 : !3 H 3 H 2 : !1 : !2 !3 !2 !3 .1 .2 .3 $>, F2 L F3 L F4 $1 R+?.? %1 ) #@C$A .2S 0$D%+-./ %1 Q1. 0$D!" #$" ESTR $A (O$V, .++E? $1 L $1 LSTR J@) LSTR2 J@ B H 3 %+-./ TS .U+D5 L FA) !) 58A )?5 c1 c2 .2S %+-./ !" $1 %& C5 @+AW? (5A$K, O$V, J$X3,) J@) $1 ZA $1 LSTR J@) LSTR1 J@ H 2 L H 4 0$D%+-./ TS .K, Y$=3,) ) 2 .C5 Y$=3,) (O$V, .++E? $?().? [(? STR 0$DJ@ !" FA) .1$& :1%&'()*+,- ./0- ,) 123 !" FA) .'() 30./$N [(? #@C\]1 5K^ !" !) 5S$7 '_$` %& '() #@C \]1 T$X3> L d7 )%2cL 0$D#@,$K+c$1 0L u~t #@C L".1 0$D#@,$K+c$1 .&b.N a$C %1 !" #$" Bb$() FA) .1 .'() J@ 0$D.3)$: %1 'eH, 5A$Kf3( .g&)@` h1$? 5i*j :1 @D)7 .A! TS FLM ) "SSR0 * SSR1 # & % ( q $ ' ) SSR1 & % ( ' " T * n * q#$ (4) T$k1. ;KP SSR L 5]+-? 0$D.+E3 )@k? q BJ@ 0$D.3)$: )@k? n B" %& .'() 58K& +(.N 0$D#@,$K+c$1 T$k1. ;KP SSR1 L J@ 0$D#@,$K+c$1 1. Test of No Error Autocorrelation 2. Terasvirta, (1998) 3. Godfrey, (1998) 44 DE/*F B+,C/7 /? 1>@A> .,/;'=> ./+4+567 8/9:;< 122 567.+I @A$1 STR J@ L".1 !) 9: :1/+/*(7 E, D/*"=/G %0-@"H 80G>E ,) 123 #$1L $D#@,$K+c$1 567.+I J@ ;, %& @f&5l./ !" .C5(.1 J@ 0$D#@,$K+c$1 1 :'() .A! TS %1 m_$= %+-./ .'() STR ;, !) yt 0 , z t + / , z t G " - 1 , c1 , s1t # + . , zt H " - 2 , c2 , s2t # + ut u t 2 iid " ,1 # (5) 2 J$X3,) h1$? L #e,5/$& 5A$of? %1 G !) #$23() 567.+I %61) a$& n+-? 0).1 @f&5 $+1 %& a8C %1 J@ 567 RA.X? !) %+-./ FA) !" 0).1 .C )L J@ @A$1 *+, H ag 0.pA :C5 #$23() .A! yt 3 ! , zt + / , z t G " - 1 , c1 , s1t # + 3 ! ,j ~zt s2jt + u t* j 1 (6) , .g&)@` h1$? T$X3> L " ~zt, s2t , ~z ,t s22t , ~z t, s23t # 0L u~t .&b.N %G+(L %1 !" FA) 1567.+I e, .1 5fe .2S %+-./ ..+N5 O$P,) J@ 0$D.3)$: %1 'eH, 5A$Kf3( :'() .A! TS %1 $D#@,$K+c$1 H : !1 !2 !3 .@C$1 s1t $KD $A L #1 z t j 0$D.+E3 F+1 !) @,)?5 s2t Y$=3,) .2S %+-./ !" a$C !" FA) :2MN:'O ./+K/L E, /+@'>E/7 1,G IG/J 123 .A! TS %1 FA*pA$j J@ 3.'($D.3)$: .++E? a1$X mG3= 0$DO$V, F+1 '1$q 0$D.3)$: :C5 %3C, yt 0 " t #, z t + / " t #, z t G " - , c, s t # + u t (7) %& 1. Test of No Remaining Nonlinearity 2. Parameter Constancy Test .'() 567.+I L 567 0$Dr=1 $D.3)$: 1 '1$q 0).1 5,!" B.pA $+1 %1 $A .3 123 ... 1>@A> .,/;'=> FE @G 13 @"JQ$ 5 %'R ./+D,E53@< P@; " 0 " t # 0 + 40 H 0 - 0 , C 0 , t * # (8) L " / " t # / + 4/ H / - / , c/ , t * u t ~ iid # (9) " ,1 # 2 (10) %& t* RA.X? !) Vf FA) 0).1 .'() - / -0 t T (11) .p,$+1 B$D.3)$: .++E? O@^ .2S %+-./ L #1 :C5 #$23() .A! a8C %1 c L - 0$D.3)$: T$eq l./ $1 s$1 567.+I +(.N yt 3 " # " # 3 ! , z t + 3 ! ,j z t t * j + 3 ! ,j + 3 z t t * j G " - , c , s t # + u t* j 1 j 1 (12) :) O$P,) .A! a8C %1 .pA J$X3,) h1$? %( 0).1 )?5 ) $& FA) %& " H - , c, t * # " # K ; ) &8 9 1 + exp ( * - < t * * c k % 6 6 9 k 1 ' $7 : . -/ *1 * 1 2 , - 5 (13) - 0 l./ $1 L k 1,2,3 0).1 0$D$67 0$D!" @ff&5 $+1 (2000) 1)$8KD L ZA L %& t $KD 0$D!" )f^ %1 $D@,$KH: #@,$K+c$1 567.+I %61) B$D.3)$: 1 '1$q.+I B5p3HeKD7 L ARCH 0$D!" B$D!" FA) .1 #Lu^ .@,L5 $KC %1 STR J@ ZA 51$A!) 5GS) ).c #$23() mG3= T$k_$6 STR J@ 51$A!) 0).1 *+, 2$D@,$KH: 1J$., !" .@,)%3/.N 1. Van Dijk et al, (2000) 2. Jarque-Bera Test 44 DE/*F B+,C/7 /? 1>@A> .,/;'=> ./+4+567 8/9:;< 124 %G@S$ ./+8'</A .4 .E/3 ./+D,>, @G .E5@ .1-4 w.x %1 Q1. $" .UA)#.& #$23() 1386-1352 #L %,s$( $" !) rDLv: FA) .@,)#@C z).=3() ).A) 5u() 0oKj 0*&. Z,$1 5,$! 0.( 0$D#) !) GDP L 0y.,) 0y.,) w.x @C {., @,L 2 )K, L 532, 0$D#L"./ 0y.,) w.x @,L 1 )K, .@fD5 $>, ) 5(.1 0$DJ$( 0$x3c) @C L 532, 0$D#L"./ 1386-1352 DE5, E, 25E E, 8TUG E>C+ V(W@G %'R ./+D,E53@< P@; 5E .1 E>,* :C5 <=> .A! T$8, $D)K, FA) %1 %j? $1 " @,L a& 5_L B#1 5_L*, 0y.,) w.x @,L $D J$( !) 5}k1 %~ .N) .| .'() 5>A)*/) 1386-1352 #L %f) L #1 $A! 5(.1 #L 532, 0$D#L"./ w.x @C {., T$,$(, .Y .'() #1 %V`u a1$c $! 5t T$,$(), FA) T$,$(, 0)) (1372 J$( !) aec $eA.X?) %+_L) 0$D#L 0$x3c) @C %~ .N) .z J$( !) $ eA.X?) '() %3/$A rD$& $! Jt T$,$(, FA) %f) 5_L B'() #1 @A@C .'() l$KI) a1$c @k1 %1 1381 J$( !) T$,$(, FA) $eA.X? L (@k1 %1 1372 L YuX,) #L 532, 0$D#L"./ 0y.,) w.x @C L 0$x3c) @C T$,$(, %f) . T$eq .1 fj L YuX,) C 52f $q" #@fD$>, %& '() #1 $A! fj .'() 0$x3c) 0$D.+E3 125 ... 1>@A> .,/;'=> FE @G 13 @"JQ$ 5 %'R ./+D,E53@< P@; $eA.X? 0y.,) w.x @C L 0$x3c) @C $3/ 5(.1 #L 0$DJ$( .3>+1 .# .'() #1 %1$> 1386-1352 DE5, E, %'R ./+D,E53@< P@; FE 5 .,/;'=> FE 5E .2 E>,* %S9?,/;'=> .&X> .2-4 .'() 0y.,) B@+_? h1$? 5GS) a)^ !) 58A B@C $+1 UD 0.V, 5,$e 'KHc %& t$KD .1 5f3e %& ) 0$x3c) @C .1 0y.,) '+G^ 5(.1 0).1 .A! .+E3 L J@ BrDLv: FA) :UA.+N5 .V, B'() 0$x3c) @C 0$D%+-./ GDt = + ! EOt + ut w.x EO B1376 J$( '1$q 'K+c %1 5G7) <_$7$, @+_? @C {., GD B" %& w.x BFK- .'() Ju7)*j ut L !L %8>1 )*D RH`.1 532, 0$D#L"./ L hA$ !$N B@+2( '2, B? FA*f1 B#& '2, B!$N '2, w$x hKj !) 532, 0$D#L"./ L5 $V3,) 0$x3c) @C 0$D%+-./ b$() .1 .'() #@" '( %1 532, 0$D#L"./ .A$( 0*&. Z,$1 5,$! 0.( T$^ut) Z,$1 !) ) $D.+E3 %1 Q1. T$^ut) L $" .@C$1 ! 5 .UA)#.& z).=3() ).A) 5u() 0oKj 44 DE/*F B+,C/7 /? 1>@A> .,/;'=> ./+4+567 8/9:;< 126 %S9?,/;'=> .&X> ,E53@G .3-4 FA) .'() J@ #$23() 0$D.+E3 0$D%2cL F++k? STR J@ ZA L".1 O$N F+3H=, )@k? %1 %j? $1 ..+N5 O$P,) 3F+i& $f` B2*?)C B1Z+i$&" 0$D$+k !) #$23() $1 $& FA) b$() .1 %& .UA)%3/.N .V, %2cL F++k? 0).1 u )f^ %1 ) *?)C $+k BT)@D$> .C5 F++k? ZA BEO L GD .+E3 L .D 0).1 %f+o1 %2cL $+k 0$D!" !) #$23() $1 ) J$X3,) h1$? ;, L J$X3,) .+E3 @A$1 )@31) $D%2cL F++k? !) 9: 0).1 0$of>+: J@ @D5 $>, 2 JL@j %& t $KD .U+f& F++k? O( r=1 #@C 5/.k .+E3 0).1 L LSTR2 J@ EO " t # J$X3,) .+E3 0).1 B567 J@ GD " t * 1# J$X3,) .+E3 F #$" p-values )@X FA.3K& %8fA) %1 %j? $1 .'() LSTR1 J@ *+, EO(t * 1) J$X3,) 5fkA LSTR2 J@ L J$X3,) .+E3 )f^ %1 EO " t # .+E3 B'() EO " t # J$X3,) .+E3 %1 Q1. .C5 Y$=3,) %f+o1 J@ )f^ %1 0)%,$3(" %6X, L $1 Z+3Hjs J@ /Z'> @"[' 5 \/O'> .2 5Y J$X3,) .+E3 GD " t * 1# EO " t # EO " t * 1# * p-values 0$of>+: J@ 2/1275E- 1 Linear 8/3567E- 3 LSTR2 1/6703E- 2 LSTR1 FA) 567.+I '+D$ %1 %j? $1 .'() L".1 %G`. BSTR J@ ZA 0!$(J@ OL %G`. !) #$23() $1 %& C5 ;L.C J@ L".1 0).1 %+_L) R($f .A$X F3/$A $1 %G`. FA) B$D J@ .@,C5 L".1 $D.3)$: ML h1$? 0!$(.g&)@` L 4FH/) -F?+, U3Ap_) B%+_L) .A$X FA) BF+f KD .@fD5 $>, ) t #$" *3,).: a7) )@^) %& '() .A! a8C %1 J@ 5A$o, L".1 .741/945 L 81/307 B3/015 $1 @,.1).1 R+?.? %1 C 2 , C1 , - !) 5A$o, L".1 1. Akaike Info Criterion 2. Schwarz Criterion 3. Hannan-Quinn Criterion 4. Newton-Rafson 127 ... %&'& ()#*+& ,- . % /012 3*45 ()6 "#$ GD t % [ . 22479 " . 6571 t " stat " . 2 . 54 " 1 . 6 38 ! 341 EO t "1 ] $ [ " . 15442 $ . 9939 " 2 . 5755 " . ! GD t "1 $ . ! 276 EO t $ . " 2 . 4271 ! ( " 1 . 3 37 ) 275 EO t 2 . 4329 ! GD t "1 2 . 1752 ! 339 EO t "1 ] # [ G & , C , S t !] 2 . 565 ! :/01"2 34056 07" '% &8905 :; <6&6% #$ :/='6 3$% !" #$ %&'()* +, &-. ! 0B9 40CD &% GDt "1 >;)? @A* .$P8C &6%PQ $R&% 95 %8J6 LB5 &% M$N%&'()* >;6)? 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