Econometric tools for collusion detection
DOI:
https://doi.org/10.12775/AUNC_ECON.2009.032Keywords
explicit and tacit collusion, collusive equilibrium, cartel detection, lysine, price variance, Markov switching modelAbstract
Detection of overt or tacit collusion is a serious empirical problem. This paper outlines econometric methods of detection collusive equilibrium and focuses on the one which is consistent with equilibrium profile of proper dynamic model of collusion and relatively not data demanding, namely on marker of structural change in price volatility during collusive and competitive phase. As an proper econometric tool of discovery such an phenomenon Markov switching model is proposed. This model with ARMA (p,q) dynamics and switching variance and/or conditional heteroscedasticity in ARCH(∞) form are ex-ante the most consistent with equilibrium profile structure and with players – observer information asymmetry. To verify proposed methodology an application to well known lysine conspiracy has been done
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