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...

It is widely recognized that taking cointegration relationships into consideration is useful in forecasting cointegrated processes. However, there are a few practical problems when forecasting large cointegrated processes using the well-known vector error correction model. First, it is hard to...