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| Suguru Otani and Yuri Matsumura |
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| ''Conduct parameter estimation in homogeneous goods markets with equilibrium existence and uniqueness conditions: the case of log-linear specification'' |
| ( 2025, Vol. 45 No.4 ) |
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| We propose a constrained generalized method of moments (GMM) estimator with some equilibrium uniqueness conditions for estimating the conduct parameter in a log-linear model with homogeneous goods markets.
Monte Carlo simulations demonstrate that merely imposing parameter restrictions leads to not just inaccurate estimations but also some numerical issues, and adding the equilibrium uniqueness conditions resolves them.
We also suggest a formulation of the GMM estimation to further avoid the numerical issues. |
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| Keywords: Conduct parameters, Homogeneous Goods Market, Mathematical Programming with Equilibrium Constraints, Monte Carlo simulation |
JEL: L1 - Market Structure, Firm Strategy, and Market Performance: General
C5 - Econometric Modeling: General |
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| Manuscript Received : Jun 23 2025 | | Manuscript Accepted : Dec 30 2025 |
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