Data for: Dynamic effects of rising oil prices on consumer energy prices in Canada and the United States: Evidence from the last half a century

Science Direct
Abstract of associated article: This paper examines the dynamic relationship between the price of crude oil and the CPI energy price sub-index in Canada and the U.S. using a Markov-regime switching model and the Bai–Perron sequential method. Since these two series are cointegrated during the sample period (January 1961–June 2013), a short-run dynamic model is thus estimated for each country in which all coefficients and the error-variance terms can freely switch over time between two...
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