Bayesian and non-Bayesian statistics are derived for testing whether or not two blocks of seemingly unrelated regressions are independent. The non-Bayesian statistics are the likelihood ratio test (LRT), Wald's test (WT), and the Lagrange multiplier test (LMT). The authors interpret the LMT and...

We develop a new Markov Chain Monte Carlo procedure for a time series regression model truncated by upper and lower bounds. The regression error term is assumed to follow an ARMA--GARCH process. We use a convergence diagnostics with a simultaneous test of mean and covariance stationarity and...