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A note on super exogeneity in linear regression models
Author:
Zacharias Psarasakis a
| Affiliation: | a Department of Economics, Birkbeck College, University of London, London, United Kingdom |
DOI:
10.1080/07474939908800448
Publication Frequency:
6 issues per year
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(English)
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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.
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| Keywords: Elliptically contoured distribution; Invariance; Normality; Regression model; Super exogeneity |
| view references (10) |
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