eWhisper - 11:03 am on Sep 18, 2012 (gmt 0)
You can use event tracking, onclick tracking, etc to track the outclick in GA.
The real issue is getting the conversion data back from the 3rd party site. For GA to do this, you need to put the GA script on their page, and use cross-domain tracking, etc - and even then it might not work exceptionally well (GA gets odd when there are non-tracked pages between clicks and conversions).
Another option is to use the AdWords conversion tracker on the 3rd party site as the AdWords script is agnostic of the site - it just cares about the AdWords cookie that was set. So, if a click out from your site to the merchant was from a visitor who did not come via AdWords, then it won't be tracked; but if you are just running AdWords through your site to a merchant, than the AdWords script should work for you. However, you still need the merchant to put a script on their confirmation page.