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

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  • Shiba, Tsunemasa
  • Tsurumi, Hiroki

Abstract

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 WT as differences in the log of likelihoods conditioned on estimates of nuisance parameters. The Bayesian test is a highest posterior density region test that can also be derived as a Bayes factor. The four tests are compared in sampling experiments. Copyright 1988 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

Suggested Citation

  • Shiba, Tsunemasa & Tsurumi, Hiroki, 1988. "Bayesian and Non-Bayesian Tests of Independence in Seemingly Unrelated Regressions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 29(2), pages 377-395, May.
    • Handle: RePEc:ier:iecrev:v:29:y:1988:i:2:p:377-95
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    Cited by:

    1. Christoph Strumann, 2019. "Hodges–Lehmann Estimation of Static Panel Models with Spatially Correlated Disturbances," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 141-168, January.
    2. Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions," Journal of Econometrics, Elsevier, vol. 106(1), pages 143-170, January.
    3. Jesús Mur & Fernando López & Marcos Herrera, 2010. "Testing for Spatial Effects in Seemingly Unrelated Regressions," Spatial Economic Analysis, Taylor & Francis Journals, vol. 5(4), pages 399-440.
    4. J. Paul Elhorst, 2003. "Specification and Estimation of Spatial Panel Data Models," International Regional Science Review, , vol. 26(3), pages 244-268, July.
    5. Tsay, Wen-Jen, 2004. "Testing for contemporaneous correlation of disturbances in seemingly unrelated regressions with serial dependence," Economics Letters, Elsevier, vol. 83(1), pages 69-76, April.

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