Framework and Assumptions Example 1 [Autoregressive (AR)Model]: In econometrics,there are various alternative definitions of exogeneity. For example,one definition assumes that st and X are independent. One example is that X is nonstochastic.This rules out conditional het- eroskedasticity (i.e.,var(et X)depends on X). The case that s and X are independent or X is nonstochastic is called strong exogeneity. ADVANCED ECONOMETRICS Classical Linear Regression Model May11,2021 10ADVANCED ECONOMETRICS Classical Linear Regression Model May 11, 2021 10 Framework and Assumptions Example 1