The assumption of "strict exogeneity" in a regression model means that _____.
A)the dependent variable is binary
B)all explanatory variables change over time
C)the model does not include a lagged dependent variable as a regressor
D)the model includes all relevant explanatory variables

Question

Quizplus · Accepted Answer

Strict exogeneity means that the explanatory variables are uncorrelated with the error term, including any lagged dependent variables. Therefore, if the model includes a lagged dependent variable as a regressor, strict exogeneity is violated. Choices A, B, and D are not directly related to strict exogeneity.

The Assumption of "Strict Exogeneity" in a Regression Model Means