Do I add mediator and control variables in Wooldridge test for autocorrelation on Stata?

[Izza Zahir]

Hi everyone, I am conducting the Wooldridge test for serial autocorrelation for my mediation analysis. My data is unbalanced panel data.

I wanted to know if I should include the mediator and control variables to the xtserial command or not? Basically I have added lagged Dependent Variable (DV) as a control which is why I wanted to check for autocorrelation. But I am not sure if I need to include all control variables as well as the mediator variable in the test. Right now I am using the following equation:

1. xtserial DV IV MV CV1 CV2 CV3 CV4

Where DV= Dependent Variable, IV= Independent Variable, MV= Mediator Variable, CV1-CV4= Control Variables

Should I use this set up or should I just keep the following set up with just one control variable which is the lagged DV:
2. xtserial DV IV MV CV1(Lagged DV)

Thank you in advance!

[Phil Bromiley]

You will increase your chances of a useful answer by following the FAQ on asking questions.

It doesn't make sense to me to test for serial correlation without the full set of variables in the model. Note also that including a lagged dv does change the model significantly and can give very different results than an estimate without the lagged dv. Also, with serial correlation, a lagged dv can be endogenous.

[Mahinda Sene]

I am going to measure the standarized mean value of 4 environmental indicators (AA, BB, CC and DD).

I want to take this value ((mean environmental value = (standard devi AA + sd BB + sd CC + sd DD)/4) for each country per each year.
For example mean environmental value for USA for year 2010.
Can somebody tell me how to use egen command for this purpose. Please see below my data (i have number of countries but here I included only few to explain my question)

Country Name	environment indicator	2010	2011	2012
UK	AA	-1.32573	-1.34429	-1.26859
UK	BB	-1.1179	-1.15356	-0.98963
UK	CC	-0.22618	-0.36924	-0.38932
UK	DD	-1.03593	-1.09778	-0.96978
USA	AA	-1.26529	-1.26538	-1.26955
USA	BB	-1.12054	-1.12548	-1.07625
USA	CC	-0.66082	-0.59353	-0.85653
USA	DD	-0.59469	-0.5459	-0.51529
Australia	AA	0.26126	0.318356	0.364368
Australia	BB	-0.33356	-0.34626	-0.3786
Australia	CC	-0.67317	-0.6633	-0.58567
Australia	DD	0.314489	0.166391	0.124486
Burkina Faso	AA	-0.35061	-0.36786	-0.47889
Burkina Faso	BB	-0.56885	-0.55905	-0.62399
Burkina Faso	CC	-0.11764	-0.55538	-0.57313
Burkina Faso	DD	-0.1564	-0.17954	-0.11886

[Jeff Wooldridge]

You shouldn’t apply the test with a lagged DV. It’s based on residuals from the first difference OLS. Those estimates have poor properties with a lagged DV. You’ll want to use xtabond2 instead.