Hi Statalisters,
There may be a real simple answer to it. But I can't seem to figure
out why. Suppose I run a regression of the following form to test for
serial correlation (as suggested by Wooldridge):
xi: ivreg2 y x1 x2 [x3=z1 z2 z3] i.id i.time, robust
predict e, resid
bys id: gen lag_e = e[_n-1]
xi: ivreg2 y x1 x2 [x3=z1 z2 z3] i.id i.time lag_e, robust
Every time I clear the data from memory and reload it and run the
regressions again, the residuals change and so do the results of the
serial correlation test. So, I am not sure which results to use.
I appreciate any advice regarding what I am missing here. Many thanks!
Yogesh
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