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st: autocorrelation in fixed-effects instrumental variables


From   "Maria jimenez rubio" <djrubio9@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: autocorrelation in fixed-effects instrumental variables
Date   Wed, 05 Nov 2003 18:08:54 +0000

Dear statalist users,
I am a bit confused about IV estimation. I am running a panel data model where some of the variables are suspected to be endogenous. I want to use lagged values of the suspected endogenous variables as instruments. However, in the presence of autocorrelation, lagged instruments are invalidated (because they are correlated with the current error term). However, how to test for autocorrelation in Stata? I have tested for autocorrelation in my structural equation (ignoring the instruments) using xtregar..lbi. But I believe I need a test for autocorrelation in a two-stages least squares framework. Is there anyone who can help me with this problem?

Thanks a lot,

Maria D. Jimenez

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