Hello everyone,

I am using the command REGHDFE by Sergio Correia to estimate FE with three-way error-components. This means: I assume individual, time and school fixed effects, since the educational achievements follow a hierarchical structure.

My data set contains 8,232 students (i) from 60 schools (j) and 460 classes (c) with a panel data format with T=5 (wave). For each student, I have the test scores (profic_mat) and a list of observed variables ($controlvar) over the time period.

Code:
reghdfe Zprofic_mat ZMat_L1 DiD time treated $controlvar, absorb(wave IDescola IDaluno) vce(cluster IDturma)
and for the IV:
Code:
ivreghdfe Zprofic_mat DiD time treated $controlvar (ZMat_L1=L3.Zprofic_mat), absorb(wave IDescola IDaluno) cluster (IDturma)
My question now is how can I test the model for first-order and second-order serial correlation after the reghdfe estimations?

I have tried to implement the Wooldridge test (xtserial) after REGHDFE. But this command will ignore the fixed effect and the cluster structure of my model. Similarly, I tried to use the command abar test (Baum, Schaffer, Stillman. Stata Journal 7:4, 2007), but this command may be applied only after regress, ivreg, ivregress and ivreg2. Therefore, I cannot use the abar test with my three-way error-components.


Any advice would be highly appreciated!