Exogeneity test for GARCH models

[strypste]

Hi there

I would like to test for exogeneity in a GARCH-M model.

For example, the model is

y_(t) = b0 + b1*y_(t-1) + b2*z_(t) + e_(t)

sigma^2_(t) = w0 + w1*e_(t-1)

where e_(t) is the error term, z_(t) the endogenous variable and sigma^2_(t) is the conditional variance. How can I test if z_(t) is exogenous?


Any references or ideas on how to do that?

Thanks a lot!