How Good are Weather Shocks for Identifying Energy Elasticities? A LASSO-IV Approach to European Natural Gas Demand

The file includes an R script for generating IV, post-LASSO IV, and post-LASSO OLS models in order to estimate residential price elasticity for 23 European Union countries at panel and country-level. The results of the models are explained in the paper entitled "How Good are Weather Shocks for Identifying Energy Elasticities? A LASSO-IV Approach to European Natural Gas Demand". Since the monthly price data is confidential data provided by VaasaETT, we could not provide the dataset used in this study.