Shale Mechanism Data: Oil-Directed Drilling, Associated Gas, and Henry Hub Dynamics (1998–2025)

This dataset supports the manuscript “Shale Mechanism: Oil Incentives, Associated Gas, and Henry Hub Dynamics.”

It contains the full data architecture used to estimate a mechanism-first econometric framework linking oil incentives to natural gas prices through delayed drilling and associated gas production in oil-directed basins.

The dataset includes:

Raw source files from U.S. Energy Information Administration (EIA), rig counts, and price benchmarks
Processed monthly panels used for econometric estimation (1998–2025)
Basin-level datasets distinguishing oil-directed and gas-directed production regions
Derived variables including associated-gas aggregates, storage flows, and system-state controls
Feature matrices used in the machine-learning screening stage
Supporting documentation, including variable definitions and methodological structure

The analytical framework tests a conditional transmission chain:
oil prices → delayed drilling → oil-directed associated gas → Henry Hub

The dataset enables full reproducibility of:

Descriptive timing and correlation analysis
Distributed-lag drilling models
Basin-level associated-gas estimation
Henry Hub econometric models
Cointegration and restricted VECM long-run analysis
Machine-learning screening and translation-back models

Forecast periods present in raw EIA files are excluded from the historical identification sample. The final econometric sample runs from January 1998 to December 2025.