本文利用蒙地卡羅模擬比較數種估計OLS殘差檢定分數共整合方法的檢定力，結果發現以本文的CSS估計及其Wald、LM及LR檢定在檢定力的表現上優於其他的檢定方法。

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第一章 緒論 …………………………………… 1
第一節 研究動機與目的 ………………………… 1
第二節 研究大綱 ………………………………… 4
第二章 文獻回顧與探討 ……………………… 5
第一節 ARFIMA與分數共整合 …………………… 5
第二節 分數共整合之檢定 ……………………… 8
第三節 CSS方法 ………………………………… 13
第三章 研究模型與方法 ……………………… 16
第四章 模擬結果之比較與分析 ……………… 20
第五章 結論 …………………………………… 26
附表 ……………………………………………… 27
參考文獻 ………………………………………… 30
附錄 ……………………………………………… 33

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