Jansen, Eilev S; Terasvirta, Timo - In: Oxford Bulletin of Economics and Statistics 58 (1996) 4, pp. 735-63
The paper is concerned with testing super exogeneity in a single equation that can either be linear or partially nonlinear. A joint test for testing both weak exogeneity and a form of invariance, which together amount to a form of super exogeneity, is presented and its properties discussed. The...