231
Views
6
CrossRef citations to date
0
Altmetric
Original Articles

Fractional integration and cointegration in merger and acquisitions in the US petroleum industry

&

References

  • Bloomfield, P. 1973. “An Exponential Model for the Spectrum of a Scalar Time Series.” Biometrika 60: 217–226. doi:10.1093/biomet/60.2.217.
  • Dahlhaus, R. 1989. “Efficient Parameter Estimation for Self-Similar Processes.” The Annals of Statistics 17: 1749–1766. doi:10.1214/aos/1176347393.
  • Dickey, D., and W. Fuller. 1979. “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of the American Statistical Association 74: 427–431.
  • Diebold, F. X., and M. Nerlove. 1989. “Unit Roots in Economic Time Series: A Selected Survey.” Advances in Econometrics 8: 3–69.
  • Elliot, G., T. J. Rothenberg, and J. H. Stock. 1996. “Efficient Tests for an Autoregressive Unit Root.” Econometrica 64: 813–836. doi:10.2307/2171846.
  • Kwiatkowski, D., P. C. Phillips, P. Schmidt, and Y. Shin. 1992. “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure are We that Economic Time Series Have a Unit Root?” Journal of Econometrics 54: 159–178. doi:10.1016/0304-4076(92)90104-Y.
  • Marinucci, D., and P. M. Robinson. 2001. “Semiparametric Fractional Cointegration Analysis.” Journal of Econometrics 105: 225–247. doi:10.1016/S0304-4076(01)00076-8.
  • Phillips, P., and P. Perron. 1988. “Testing for a Unit Root in Time Series Regression.” Biometrika 75: 335–346. doi:10.1093/biomet/75.2.335.
  • Resende, M. 1996. “Mergers and Acquisitions in the UK: A Disaggregated Analysis.” Applied Economics Letters 3: 637–640. doi:10.1080/135048596355835.
  • Robinson, P. M. 1995. “Gaussian Semi-Parametric Estimation of Long Range Dependence.” The Annals of Statistics 23: 1630–1661. doi:10.1214/aos/1176324317.
  • Robinson, P. M., and Y. Yajima. 2002. “Determination of Cointegrating Rank in Fractional Systems.” Journal of Econometrics 106: 217–241. doi:10.1016/S0304-4076(01)00096-3.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.