Abstract:

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 estimate 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 results 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 cointegration system.