Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/213549 
Year of Publication: 
2018
Series/Report no.: 
EERI Research Paper Series No. 16/2018
Publisher: 
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, detrending 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.
Subjects: 
Autoregressive model
Break point
Merger series
Bayesian inference
JEL: 
C32
G34
C11
Document Type: 
Working Paper

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