st: 1st & 2nd order autocorrelation panel-data

[Sigmund Ellingsrud <sigmund.ellingsrud@econ.uio.no>]

Dear Statalist,

I'm having some difficulty finding a proper solution to the following 
problem:

I'm estimating panel-data with fixed-effects, i.e:

xtreg (depvar), fe robust

And I want to obtain coefficients, t-stat and p-values for 1st and 2nd 
order autocorrelation.

I've tried xtserial and xtregar, but none of these seems to provide the 
statistics I'm after.

I've also learned that there could be some complications arising from 
having the lagged dependent variable as regressor (wich I do have, both 
1 and 2 lags).

I would highly appreciate tips on syntax available as a solution to this 
problem. Please let me know if I have provided insufficient amount of 
information.

Regards,
Sigmund Ellingsrud
--
Mvh
Sigmund Ellingsrud
Forskningsassistent Økonomisk Institutt
sigmund.ellingsrud@econ.uio.no
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