Replication Data for Asymmetric Wholesale-to-Retail Natural Gas Price Pass-Through in the United States: Structural Breaks and Utility Pricing Implications

Description

This dataset contains the replication data and supporting materials for the study “Asymmetric Wholesale-to-Retail Natural Gas Price Pass-Through in the United States: Structural Breaks and Utility Pricing Implications.” The study uses monthly U.S. data for 1997M01–2025M12 from the U.S. Energy Information Administration (EIA) and the U.S. Bureau of Labor Statistics (BLS). The deposited materials document the variables, transformations, and analytical data used in the empirical analysis. Original public data sources and series definitions are documented in the accompanying README file and in the article. The dataset is provided to support transparency, verification, and reproducibility of the reported empirical analysis.

Steps to reproduce

Open US_Natural_Gas_Replication_Data.wf1 in EViews. The workfile contains the monthly analytical series for 1997M01–2025M12, the corresponding transformations, constructed variables, and estimation objects used in the study. RNGP and RGC were seasonally adjusted in levels using X-13ARIMA-SEATS before natural-log transformation. UW was seasonally adjusted at source by the BLS and then transformed into natural logarithms. The Henry Hub monthly spot-price series was used as published, without additional seasonal adjustment, transformed into natural logarithms, and decomposed into cumulative positive and negative partial sums for the NARDL analysis. The stored EViews objects preserve the regime-adjusted model specification, structural-break variables, ARCH(1) variance specification, Student-t final estimation, Wald inference, and diagnostic outputs reported in the manuscript. The principal estimated break dates are 2020M03 for the long-run Henry Hub coefficients and 2009M05 for the short-run Henry Hub terms. The final Student-t ARCH(1) estimation sample is 1997M04–2025M12 (N = 345). The accompanying US_Natural_Gas_Replication_Data.xlsx provides a software-independent export of the analytical series. Detailed coefficient definitions, Wald restrictions, and methodological procedures are documented in the manuscript and README.

Institutions

• Université Constantine 2

  Constantine, Constantine
• Centre Universitaire de Mila

  Mila, Mila

Categories

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