Bayesian and Non-Bayesian Tests of Independence in Seemingly Unrelated Regressions

DOI10.2307/2526673zbMath0669.62052OpenAlexW2007285200MaRDI QIDQ3823009

Tsunemasa Shiba, Hiroki Tsurumi

Publication date: 1988

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2526673

zbMATH Keywords

likelihood ratio testF distributionseemingly unrelated regressionsLagrange multiplier testWald's testtesting independencecomparison of testsempirical powershighest posterior density region test

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Bayesian inference (62F15)

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Testing for contemporaneous correlation of disturbances in seemingly unrelated regressions with serial dependence ⋮ Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.

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