No collinearity between dependent and exogenous variables - Implicatrions

I'm trying to test for autocorrelation in the residuals of an AR(p) model.
The stata output is: "the exogenous variables may not be collinear with the dependent variables, or their lags" and no results.
Can I conclude from this that the residuals are not autocorrelated?
Thank for answering and sharing the problem.