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This paper is a postgraduate diploma thesis titled: “ Examining the relationship between oil, gas and shale gas: The case of US”. In short, the aim was to explore the relationship between oil, natural gas prices and the evolution of shale gas, (using as variable shale gas quantities) and see through cointegration analysis how these variables interact with each other . The existence of a long run cointegrating relationship was investigated. Moreover, for the examination of a short run relationship, vector error correction model was estimated.