一反傳統推導共整合檢定統計量時假設起始值為零的做法，本文嘗試將起始值參數化，在推導檢定統計量的過程中將起始值條件納入考慮。如此推導下的檢定統計量，不只可幫助我們了解起始值如何影響共整合檢定，也可幫助我們判別兩組資料間是否存在共整合關係。而此種依據判別函式以及誤差檢定所構成的檢定統計量也可讓我們依據手中握有的資訊來模擬出所需要的查表值。

In stead of assuming the starting observations as zero, the
cointegration test statistic derived in this paper takes the
initial conditions into consideration. The statistic helps us
understand how the initial conditions affect the test and helps us
recognize whether the cointegration relationship exists in the
data generation process or not. Beside, with this statistic
derived with the concept of discriminant function and residual
based test, we can simulate our own critical value table in
according to what starting observations we have in hand, what
significant level we want and what value of rho we meet under
H_1.

1 Introduction 3

2 Hypothesis Testing And Initial Condition 7

2.1 Preliminary ................................7
2.2 The Discriminant ..........................11
2.3 The Statistic for Cointegration Test ......14

3 Simulation 19

4 Conclusion 25

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