Elena, Goldman; Hiroki, Tsurumi - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 2, pp. 1-38
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...
