使用卡爾曼濾波方法實證分析中國政府的貪污變動(1990-2006)

An Empirically Study on the Corruption Changing of China Government Using Kalman Filter (1990-2006)

10.6284/NPUSTHSSR.2010.4(4)3

孫德華(Te-Hua Sun)

卡爾曼濾波 ； 貪污指標 ； 可變參數棋型 ； Kalman filter ； Corruption Index ； Time-varying parameter model

人文社會科學研究

4卷4期（2010 / 12 / 01）

47 - 76

繁體中文

中國的貪污很嚴重，一般僅是概略的印象，因貪污是個隱藏性的問題，我們無法知道它在哪一個官僚層級較嚴重？為了找出這個不可觀測的(Unobserved)變量，本文使用SWI景氣指數的研究方法，目的即是建立中國貪污的層級性指標來觀察中國的貪污。這個方法，是將動態的OLS方法應用於研究貪污領域。本文假設在這個系統中的其他環境參數為零，只分析所獲得的超參數，從每項政府支出建立隨時間變動的超參數，設定它為貪污層級指標。動態的OLS方法，即是狀態空間模型，它是探討在政海各項支出變量的共同變動背後，存在著一個共同的因素即貪污，這一因素可由一個單一的、不可觀測的(Unobserved)基本變量，貪污指標，來體現。研究的結果，是從貪污層級指標，綜合分析中國貪污，在層級間的變遷及相互間的相關性。

Corruption has become a very serious problem in China. Since corruptions are an unobserved crime, we can only get a general impression on this problem without knowing exactly who is doing it. However, in order to figure out the true facts, we now use the same research approach as has been used on the study of the economic index of Stock-Watson. The research goal of this article is to establish a stratum corruption index of China so as to observe her corruption phenomena. This approach adopts the method of the dynamic OLS to the study of corruption. When we conducted this study, we neglected all environmental parameters other than the special one which is analyzed in this study. By analyzing every time-varying governmental expenditure, we gain a special parameter which we deem as the stratum corruption index of China. The dynamic OLS is a space state model, which is used in an attempt to find out the same parameter hidden behind every governmental expenditure. This parameter is defined as corruption. This parameter can be expressed by a single unobserved fundamental variable-corruption index. The result of the research is to conduct a complex analysis on the stratum's corruption index and compare it with the corruption events found in China.

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