本文利用蒙地卡羅方法模擬數種共整合方法在分數共整合系統下的檢定力。
根據模擬結果，Saikkonen的無限期次向量自我迴歸模型為最適的共整合方法。

The purpose of this research is to investigate the power of various often-used cointegration tests against the fractionally cointegrated alternaive from Monte Carlo simulation.
According to the simulation results, the Saikkonen’s Infinite VAR model is most adequate cointegration test.

第一章 導論……………………………………………………….…1
第一節 研究動機和目的……………………………………….1
第二節 研究大綱……………………………………………….3
第二章 研究背景和文獻探討……………………………………….4
第一節 共整合方法…………………………………………….5
第二節 落後期數的選取準則與誤差項檢定法………………13
第三節 分數差分時間數列的特性……………………………15
第三章 模型與研究方法……………………………………………21
第一節 分數共整合系統模擬…………………………………21
第二節 研究方法………………………………………………24
第四章 檢定力的比較和分析………………………………………25
附表………………………………………………………………29
第五章 結論…………………………………………………………36

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