st: autocorrelation in fixed-effects instrumental variables

["Maria jimenez rubio" <djrubio9@hotmail.com>]

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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