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Unit Roots and the Dynamics of Market Shares: An Analysis Using Italian Banking Micro-Panel

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Author Info
Giannetti, C. (Tilburg University, Center for Economic Research)

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Abstract

The paper proposes the use of panel data unit root tests to assess market share instability in order to have (preliminary) indications of the industry dynamic. The idea is to consider the movements in market shares not only as element of the market structure but rather reflecting conduct that arise from that market. If shares are mean-reverting, the firm actions only have a temporary effect on shares. On the other hand, if they are evolving, as signaled by the presence of unit roots, the gain in shares respect with the competitors could be long-term. To illustrate the potential of unit roots tests, I consider an application to the Italian retail banking industry.

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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2008-44.

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Date of creation: 2008
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Handle: RePEc:dgr:kubcen:200844

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Find related papers by JEL classification:
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
D40 - Microeconomics - - Market Structure and Pricing - - - General

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  4. John Sutton, 1997. "Gibrat's Legacy," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 40-59, March. [Downloadable!] (restricted)
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  6. Phillips, Peter C.B. & Sul, Donggyu, 2007. "Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence," Journal of Econometrics, Elsevier, vol. 137(1), pages 162-188, March. [Downloadable!] (restricted)
    Other versions:
  7. Pesaran, M.H., 2004. "‘General Diagnostic Tests for Cross Section Dependence in Panels’," Cambridge Working Papers in Economics 0435, Faculty of Economics, University of Cambridge. [Downloadable!]
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  9. Breitung, Jorg & Meyer, Wolfgang, 1994. "Testing for Unit Roots in Panel Data: Are Wages on Different Bargaining Levels Cointegrated?," Applied Economics, Taylor and Francis Journals, vol. 26(4), pages 353-61, April.
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  11. John Sutton, 2004. "Market Share Dynamics and the ‘Persistence of Leadership’ Debate," STICERD - Economics of Industry Papers 37, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  12. Guiso, Luigi & Sapienza, Paola & Zingales, Luigi, 2002. "Does Local Financial Development Matter?," CEPR Discussion Papers 3307, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  13. S. W. Davies & Paul A. Geroski, 2000. "Changes In Concentration, Turbulence, And The Dynamics Of Market Shares," The Review of Economics and Statistics, MIT Press, vol. 79(3), pages 383-391, August. [Downloadable!] (restricted)
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  15. Steve Bond & Céline Nauges & Frank Windmeijer, 2005. "Unit roots: identification and testing in micro panels," CeMMAP working papers CWP07/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
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