Testing for serial correlation in panel analysis with instrument

[Michael Schuster]

Dear all,

Is there an alternative way to test for serial-/autocorrelation in a panel data setting within an instrumental variable approach? I just found -xtserial-.

Thank you in advance!

[Jared Greathouse]

Likely, but why doesn't xtserial do the job?

[Maxence Morlet]

https://journals.sagepub.com/doi/ful...36867X20909695

[Sebastian Kripfganz]

https://journals.sagepub.com/doi/ful...36867X20909695

As far as I know, this does not allow for instrumental variables.

An alternative might be to replicate the instrumental variables estimator with my xtdpdgmm command and then use the estat serial postestimation command for the Arellano-Bond test. While developed with dynamic panel models in mind, the command can be used for static models as well.