It is argued that the estimation techniques used by previous researchers to study rivalry in financial markets are inappropriate. The assumptions of both ordinary least-squares and Tobi analysis are violated when these techniques are used to analyze mobility and turnover data. To overcome the difficulties in the previous studies, we suggest a non-linear model (which is closely related to the Poisson model). This model is designed for describing frequency data and is not subject to the criticisms to which ordinary least-square and Tobut are subject.



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The definitive version is available at http://www.jstor.org/stable/1935994.

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URL: http://digitalcommons.calpoly.edu/econ_fac/115