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Re: st: Serial correlation test for IV estimation


From   Sjoerd van Bekkum <vanbekkum@ese.eur.nl>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Serial correlation test for IV estimation
Date   Mon, 10 Dec 2012 14:48:33 +0100

Try "ssc install abar". This installs the Arellano-Bond test for
autocorrelation coded by David Roodman. As you will see in the help
file: the test was originally proposed for a particular linear
Generalized Method of Moments dynamic panel data estimator, but is
quite general in its applicability--more general  than dwstat,
durbina, bgodfrey, and xtserial.

---

Sjoerd van Bekkum
Erasmus University, Netherlands

>
>
>
> On 10 December 2012 13:50, Regiane Silva Rodrigues <re_rdgz@hotmail.com> wrote:
>>
>> Can someone help me!
>> How I can estimate a t-test for test serial correlation in an IV regression.
>> Is it a simple t-test on the lagged dependent variable (the serial correlation coefficient)???
>
>
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