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