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(承上頁) 表 4: CPI vs. PPI 及其細項之 Granger 因果關係檢定表
l = 1 l = 3 l = 6 l = 12
組別 H 0
F-Statistic p 值 F-Statistic p 值 F-Statistic p 值 F-Statistic p 值
Construction for government does not Granger cause Core CPI 7.2840 0.0077 *** 6.2669 0.0005 *** 1.3428 0.2419 1.7273 0.0681 *
8
Core CPI does not Granger cause Construction for government 20.0993 0.0000 *** 0.9226 0.4315 1.5564 0.1640 3.0017 0.0010 ***
Final demand construction does not Granger cause Shelter 9.7713 0.0021 *** 7.0350 0.0002 *** 4.5100 0.0003 *** 2.1296 0.0192 **
9
Shelter does not Granger cause Final demand construction 15.0026 0.0002 *** 1.9784 0.1195 2.8292 0.0123 ** 1.1529 0.3242
Final demand services does not Granger cause Shelter 3.2452 0.0735 1.9725 0.1204 3.1103 0.0068 *** 2.5128 0.0053 ***
10
Shelter does not Granger cause Final demand services 3.7093 0.0559 * 2.7390 0.0454 ** 1.4873 0.1864 1.3543 0.1965
Final demand foods does not Granger cause Food and beverages 25.3656 0.0000 *** 8.5676 0.0000 *** 5.4407 0.0000 *** 2.9533 0.0012 ***
11
Food and beverages does not Granger cause Final demand foods 14.0409 0.0002 *** 7.0829 0.0002 *** 3.8443 0.0014 *** 2.2537 0.0127 **
Final demand transportation & warehousing services does
20.9684 0.0000 *** 5.0093 0.0024 *** 3.4045 0.0036 *** 2.1965 0.0154 **
not Granger cause Transportation services
12
Transportation services does not Granger cause Final
0.9190 0.3392 0.5345 0.6593 0.6234 0.7113 1.4322 0.1595
demand transportation & warehousing services
註: 1. 虛無假說 (H 0 ) 為該主項 (或細項) 不會「Granger 影響」對立項 (或其細項)。
2. 各組中之 H 0 黑體字為經 Granger 檢定後先行採用之假說，灰體字表該項目為對立變數。
3. F 檢定量及 p 值以為 5% 做為門檻值，顯著數據以黑體字表示，不顯著數據則以灰體字表示。
4. l 為檢定落後期數，本表僅節錄部分期數 (落後 1、3、6 及 12 期)，實際操作設定為落後 1 至 12 期。
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