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 considerations also include testing parameter constancy and modelling parameter nonconstancy by an example in which testing super exogeneity in a consumption function for Norway, based on a previously published model is considered. The results are compared with the previous conclusions and found not to disagree with them.
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Jansen et al. (1996) studied this question.
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