摘要
基于不同时期舰船维修工时费率与物价指数的波动特征,提出采用非线性阈值协整理论,建立了工时费率与物价指数的阈值向量误差修正模型,并分析模型估计、检验方法。鉴于研究对象的小样本性质,设计了基于参数化残差的Bootstrap仿真实验,实现模型的检验及估计。根据模型结果,对不同机制下工时费率与物价指数因果关系进行检验,并与线性协整假设下的检验结果进行比较。实证结果表明:工时费率与物价指数属于两机制非线性阈值协整系统,当对均衡态的偏离超过阈值时,系统向均衡态调整,并且工时费率的调整速度大于物价指数调整的速度;否则,系统不进行调整。在不同机制下,工时费率与物价指数存在不同的单向因果关系。
Under the analysis of fluctuation characteristic of ship maintenance perhour price and price index in different periods, the threshold cointegration is introduced to describe the non linearity adjustment mechanism between the ship maintenance perhour price and the price index, and the threshold vector error correction model between them is established. Then, the estimation and test methods for this model are concretely analyzed. Whereas the inquisitive objects have the properties of small samples, a parametric residual Bootstrap emulator is designed to realize the estimate and test of the threshold vector error correction model. According to the esti- mate and test results, the granger causality between ship maintenance perhour price and price index is tested in different mechanisms and compared with the test under the hypothesis of linearity cointegration. The empiric re- suits indicate that the ship maintenance perhour price and price index constitute a two-mechanism non-linearity threshold cointegration system. In different mechanisms, there exist different unilateralism causalities in the colntegratlon system
出处
《系统工程与电子技术》
EI
CSCD
北大核心
2012年第11期2290-2296,共7页
Systems Engineering and Electronics
基金
国家社会科学基金项目(11GJ003-072)资助课题
