Running Stata 14 on Windows 10. I'm trying to make sure I'm implementing actest correctly to test for autocorrelation in residuals in a panel data context. In my dataset, two different approaches --- minimizing the AIC and SBIC (over several specifications that use an increasing number of lagged DV terms), and testing the significance of subsequent lag terms (over that same series of specifications) --- support the use of two lags on the dependent variable (i.e., an AR(2) process). So, after I xtset country year (because most of my specs use xtreg, but that doesn't support actest in postestimation) I run my preferred / main specification, which is of the form

Code:
reg y x lag1y lag2y i.country, cluster(country)
Where y and x refer to yit and xit, lag1y is yi,t-1, and lag2y is yi,t-2. I'm interested in knowing if the residuals from this equation have any serial autocorrelation, so as a post-estimation command I run

Code:
actest, lags(3) cluster(country)
And, happily, find that the test rejects the null hypothesis for the first and second lags, and fails to reject the null for the third lag. But I am not sure if I'm running this test correctly. Should I instead run this set of commands?

Code:
reg y x i.country, cluster(country)
actest, lags(3) cluster(country)
The example provided in the actest help file suggests that we might want to run the original regression without lags, but it is not very clear (at least, not to me). At least one published (and seemingly StataCorp-sanctioned) implementation of actest, provided in Ariel Linden's Stata Journal article introducing the itsa command, suggests that the postestimation application of actest should be run after a regression that includes desired lag terms (see Section 4.1 of that article). I was unable to find other resources online, including in this forum, to indicate clearly either way.

Many thanks.