Economics at your fingertips  

Merger and Acquire of Series: A New Approach of Time Series Modeling

Jitendra Kumar and Varun Agiwal

No EERI RP 2018/16, EERI Research Paper Series from Economics and Econometrics Research Institute (EERI), Brussels

Abstract: Present paper proposes an autoregressive time series model to study the behaviour of merger and acquire concept which is equally important as other available theories like structural break, de- trending etc. The main motivation behind newly proposed merged autoregressive (M-AR) model is to study the impact of merger in the parameters as well as acquired series. First, we recommend the estimation setup using popular classical least square and posterior distribution under Bayesian method with different loss function. Then, we obtain Bayes factor, full Bayesian significance test and credible interval to know the significance of the merger series. A simulation as well as empirical study is illustrated.

Keywords: Autoregressive model; Break point; Merger series; Bayesian inference. (search for similar items in EconPapers)
JEL-codes: C32 G34 C11 (search for similar items in EconPapers)
Date: 2018-12-16
New Economics Papers: this item is included in nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in EERI Research Paper Series from Economics and Econometrics Research Institute (EERI), Brussels Contact information at EDIRC.
Bibliographic data for series maintained by Julia van Hove ().

Page updated 2020-09-01
Handle: RePEc:eei:rpaper:eeri_rp_2018_16