A note on super exogeneity in linear regression models |
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| Authors: | Zacharias Psarasakis |
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| Affiliation: | a Department of Economics, Birkbeck College, University of London, London, United Kingdom |
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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 |
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