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I'm trying to test for autocorrelation in the residuals of an AR(p) model in stata using the command varlmar.

The stata output is: "the exogenous variables may not be collinear with the dependent variables, or their lags" and, so, no results.

Can I conclude from this that the residuals are not autocorrelated?

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No, it seems to me like an error. Give us more informations. You should get chi-squared, df, and p-values. –  Stat Tistician May 4 '13 at 17:51
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