A note on super exogeneity in linear regression models

Zacharias Psarasakis

Econometric Reviews, 1999, vol. 18, issue 3, 331-336

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.

Keywords: Elliptically contoured distribution; Invariance; Normality; Regression model; Super exogeneity (search for similar items in EconPapers)
Date: 1999
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DOI: 10.1080/07474939908800448

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