A note on super exogeneity in linear regression models

Authors
Psarasakis, Zacharias
Citation
Psarasakis, Zacharias, A note on super exogeneity in linear regression models, Econometric reviews , 18(3), 1999, pp. 331-336
Journal title
Econometric reviews → ACNP
ISSN journal
07474938
Volume
18
Issue
3
Year of publication
1999
Pages
331 - 336
Database
ACNP
SICI code
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.