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Difference-in-Difference methods are increasingly used in analyzing the impact of mergers on pricing and other market equilibrium outcomes. Using the evidence from a merger between two retail gasoline companies in the Spanish Canary Islands, this paper shows that this technique is prone to suffer a sort of “cellophane fallacy.” The likely impact of any merger on pricing is going to be small and statistically not significant whenever competition before the merger is already weak. To show the effect of the degree of competition before the merger on the estimates, we compare the inference of the impact of the merger on pricing using the DiD method to the estimates obtained from a conjectural variation structural oligopoly model.