US antitrust law makes market definition and the calculation of market-share statistics an integral part of the determination of the anticompetitive impact of a merger. Because markets frequently overlap, however, market definition is rarely an easy task. A statistical test that can be used as an aid in defining markets is proposed here. Time-series techniques are used to test if price in one region is exogenous to the process that determines price in another. The rejection of exogeneity can be an indication that the two regions are economically linked and thus may belong to a common geographic market. The test is applied to petroleum-product prices from various regions of the United States.