過去相當多研究長期購買力平價說（PPP)的文獻，在進行單根檢定時，俱使用追 蹤資料以提升其檢定力。本文在橫斷面相依之追蹤資料架構下，採用非線性門檻 自我迴歸(TAR)模型，並針對不同匯率狀態進行追蹤資料的單根檢定。我們提出 一個嶄新檢定程序，結合兩種現有方法的優點：（一）單根下TAR模型的統計推 論，以及（二）擴展的Dickey-Fuller追蹤資料迴歸式的單根檢定。本文分析資料 包含17個OECD國家在近期浮動匯率期間的實質匯率。結果發現三個不同的 匯率狀態，特別是在馬斯垂克條約（Maastricht Treaty)後期，支持長期購買力平價 的證據較爲強烈；在馬斯垂克條約前期，當英鎊（兌美元）升值時，存在一些長期 購買力平價的證據，然而在英鎊贬值時，證據較爲薄弱。即使將資料延長至2012 年，這些實證結果仍具穩健性。

Empirical studies have flourished on long-run PPP using panel unit root tests, which supposedly have high power. In this paper, we adopt, in a panel data context, a nonlinear multiple-regime model, namely Threshold Autoregression (TAR), and perform a panel unit root test for each regime in the TAR. This new procedure takes advantage of two existing approaches: the inference for a TAR model with a unit root, and the panel unit root tests with the augmented panel Dickey-Fuller regression. The real exchange rate dynamics in a panel of 17 OECD countries over the recent floating exchange rate period are investigated. Three distinct regimes are identified. In particular, the support for long-run PPP is much stronger in the post-Maastricht-Treaty period than the period before; in the pre- Maastricht-Treaty period, there is some evidence for long-run PPP when the sterling-dollar appreciated, while the evidence is weak when the sterling-dollar depreciated. Our results are robust to expanding the data set to 2012, using the euro foreign exchange reference rates.