A note on super exogeneity in linear regression models

Psaradakis, Zacharias (1999) A note on super exogeneity in linear regression models. Econometric Reviews 18 (3), pp. 331-336. ISSN 0747-4938.

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Official URL: https://doi.org/10.1080/07474939908800448

Abstract

This note considers how hypotheses of invariance and super exogeneity may be formulated and tested in elliptical linear regression models. It is demonstrated that for jointly elliptical random variables super exogeneity will only hold under normality.

Metadata

Item Type:	Article
Depositing User:	Sarah Hall
Date Deposited:	21 Jul 2020 14:32
Last Modified:	21 Jul 2020 14:32
URI:	https://eprints.bbk.ac.uk/id/eprint/32635

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