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st: Order of testing


From   Stephen Armah <armah.stephen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Order of testing
Date   Wed, 25 Mar 2009 21:01:47 -0500

Dear Stata community,
My question concerns the order of testing for mis-specification in STATA
I have some panel data (31 countries and 6- four year periods).  I
ususpect that two of the regressors are endogous and I want to use the
Hausman test to test for endogeneity one after the other.

I am fairly sure my data is neither heteroskedastic nor
auto-correlated but I want to test for these.

Should I test for endogeneity (correcting for heteroskedasticity and
auto-correlation)
What STATA commands will I use?

  Or
Should I first test for heteroskedasticity and auto-correlation, then
based on what I find test for endogeneity?
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