I’m estimating a simultaneous equations model using TSLS (or 3SLS). However, my residuals are clearly serially correlated, so I would like to run it in AR(1) specification. It’s not apparent to me how to do that in gretl.

In EViews, one simply adds the regression term ‘AR(1)’ and it does some …magic. I believe it just adds lags of the endogenous RHS and LHS variables to the instruments list, but I’m unable to recreate eviews results with gretl using the “lags” options in the TSLS dialogue.

Any help would be greatly appreciated. Thanks.

Trevor