Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/320314 
Year of Publication: 
2024
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 15 [Issue:] 3 [Year:] 2024 [Pages:] 571-606
Publisher: 
The Econometric Society, New Haven, CT
Abstract: 
Evaluating policy in imperfectly competitive markets requires understanding firm behavior. While researchers test conduct via model selection and assessment, we present the advantages of Rivers and Vuong (2002) (RV) model selection under misspecification. However, degeneracy of RV invalidates inference. With a novel definition of weak instruments for testing, we connect degeneracy to instrument strength, derive weak instrument properties of RV, and provide a diagnostic for weak instruments by extending the framework of Stock and Yogo (2005) to model selection. We test vertical conduct (Villas-Boas (2007)) using common instrument sets. Some are weak, providing no power. Strong instruments support manufacturers setting retail prices.
Subjects: 
Inference
misspecification
model selection
Rivers and Vuong test,weak instruments
JEL: 
C52
L21
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.