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st: Instrumental variables and autocorrelation


From   "Maria jimenez rubio" <djrubio9@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Instrumental variables and autocorrelation
Date   Tue, 12 Aug 2003 17:27:51 +0000

Dear all,
Im running a 2SLS fixed effects model, and it is very likely that the model suffers from serial correlation of the errors (in the standard OLS there is autocorrelation). Im using as instruments the lagged (order 1)endogenous variables, since accordiing to the exogeneity test available in Stata (ivreg2...orthog), these instruments are exogenous. But still, if the model is autocorrelated, then all the test applied to it might be invalid. My question is then, is there any command in Stata to test for autocorrelation?

Thanks a lot for your help,

Dolores Jimenez

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