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st: Testing for serial correlation in panel data when using IV methods


From   Yogesh Uppal <stata.list.queries@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Testing for serial correlation in panel data when using IV methods
Date   Wed, 20 Mar 2013 22:41:52 -0400

Hi Statalisters,

I am using xtivreg2 with multiple instruments for one endogenous
variable in a data with 50 panels and 28 time periods. I need to test
for serial correlation. The methods such as xtserial do not work in
case of IV methods.The ivactest command gives me an error saying there
are multiple panels. The abar command works when I use ivreg2 and
include dummies for fixed effects, but does not work when I use
xtivreg2. Does that mean abar is not suitable for panel data?

Even the discussion in Wooldridge's book on testing for serial
correlation for panel data (by including lagged errors in the
regression and doing a t-test on it) has nothing to say when using an
IV method.

Is there a method to test for serial correlation with panel data when
using IVs? Thanks for any suggestions.

regards,
Yogesh
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