基于向量自回归模型的舰船维修价格波动预警机制

Research on the Early Warning Mechanism upon Ship Maintenance Price Fluctuation Based on VAR Model

针对舰船维修价格管理计划性较强和宏观经济环境复杂多变的矛盾,在对舰船维修价格波动预警机制分析的基础上,选取了舰船维修价格波动预警指标,设置了警限,建立了舰船维修价格波动预警指标体系。基于样本数据相关性、平稳性和协整性检验分析结果,引入非平稳时间序列建模方法,建立了舰船维修价格波动的向量自回归预警模型,借助Granger因果关系检验、脉冲响应函数分析对模型进行动态分析,并优化了预警模型。最后,基于优化模型预测舰船维修价格波动趋势,进行了预警分析。

In light of the conflict between the strong plan of ship maintenance price management and the complication of macro-economic environment, this paper establishes ship maintenance price fluctuation early warning index system after the early warning index selection and the warning limits setup, on the basis of the analysis of the ship maintenance price fluctuation early warning mechanism.The analysis result is tested based on the pertinence, stationarity and cointegration of the sample data.With the introduction of the non-stationary time series modeling, the vector autoregression（VAR）model of ship maintenance price fluctuation early warning mechanism is built, and then the Granger causality test, impulse response function analysis are used for the dynamic analysis of the VAR model.Hence, the VAR model gets optimized.Finally, the ship maintenance price fluctuation early warning model is used to predict the future ship maintenance price fluctuation, and to provide the early warning analysis.