期刊名称：Discussion Paper Series / Economics Department, University of Swansea
出版年度：2005
卷号：1
出版社：University of Swansea
摘要：A new approach is developed to examine potential causality between
merger activity and industrial production. The proposed method
combines an information criterion based approach to lag optimisation
with joint maximum likelihood estimation of an autoregressive
distributed lag model and GARCH(1,1) specification. Application to UK
data provides significant evidence in support of causality between merger
activity and industrial production, a result which has been predicted
theoretically in the literature but has not received empirical support in
earlier research.
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