Elements of Modern Asymptotic Theo y with Statistical Applications by Brendan McCabe and Andrew ~kemayne. Pp. xi+264. Manchester: Manchester University Press, 1993. (£50 cloth, £17.99 paper) WEB INFORMATION: www.man.ac.uk/mup/

This paper unifies two seemingly separate approaches to test weak exogeneity in dynamic regression models with Lagrange-mulptiplier statistics. The first class of tests focuses on the orthogonality between innovations and conditioning variables, and thus is related to the Durbin-Wu-Hausman...