Dynamic Coupling of the U.S. and Canadian Industrial Production Indices

16 Pages Posted: 7 Feb 2023 Last revised: 13 Apr 2023

See all articles by Saiah Lee

Saiah Lee

Ulsan National Institute of Science and Technology (UNIST)

Date Written: February 8, 2023

Abstract

We study the coupling of the United States and Canada's industrial production indices using a non-linear autoregressive model. Estimating the exponential smooth transition autoregressive (ESTAR) model in the literature is improved with an expanded set of specifications. We identify the dynamic linkage between the United States and Canada and evaluate the forecast performance of each model. The results show the non-linear autoregressive model with bilateral trade linkage to outperform other models suggested by existing studies.

Keywords: Business Cycle, Dynamic Coupling, Non-linear Time-Series Forecast

JEL Classification: C32, E32, E37

Suggested Citation

Lee, Saiah, Dynamic Coupling of the U.S. and Canadian Industrial Production Indices (February 8, 2023). Available at SSRN: https://ssrn.com/abstract=4346516 or http://dx.doi.org/10.2139/ssrn.4346516

Saiah Lee (Contact Author)

Ulsan National Institute of Science and Technology (UNIST) ( email )

50 UNIST-gil, Ulju-gun
Ulsan, 44919
Korea, Republic of (South Korea)
+82-52-217-3202 (Phone)

HOME PAGE: http://saiahlee.unist.ac.kr

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