Hello dear Stata Users,
I am estimating a dynamical panel (370 firms; T=10) where my dependent var is leverage and my independents are the lagged dependent, firm-specific factors impacting leverage and macro factors.
I use the command: xtabond2
Stata reports correctly the Sargan/Hansen tests but does not report for the second-order Arellano-Bond test for autocorrelation
Arellano-Bond test for AR(2) in first differences: z = . Pr > z = .
My panel is not balanced and I have missing values in lone of my regressors (tobinq) can it be a reason?
Does anyone have an idea? I am stuck here.
Thank you all in advance
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