Dear Everyone,

I am using panel data and I want to test for autocorrelation in my dataset. The data covers 1059 companies, with for each company 2 (DV) Dependent Variables (ROA and Tobin's Q) and 5 (IV) Independent Variables. The data covers a maximum of 81 months (Jan 2014 - Oct 2020), where most of the companies only cover 24-36 months. Furthermore, in some cases there is data missing in the DV or IV in the relevant month (see the #N/A in the overview). Overview:
ExtractionDate EntityName DV1 DV2 IV1 IV2 IV3 IV4 IV5 CompanyID
1-9-2014 Company A #N/A 0,128 6,296 0,9 2536,192 30,308 0,004 1
1-10-2014 Company A #N/A 0,128 6,296 0,9 2536,192 30,308 0,004 1
1-11-2014 Company A #N/A 0,128 6,296 0,9 2536,192 30,308 0,004 1
1-12-2014 Company A #N/A 0,128 6,296 0,9 2536,192 30,308 0,004 1
1-1-2015 Company A 5,158 0,079 6,927 0,9 892,200 0,000 0,195 1
1-2-2015 Company A 5,158 0,079 6,927 0,9 892,200 0,000 0,195 1
1-3-2015 Company A 5,158 0,079 6,927 0,9 892,200 0,000 0,195 1
1-4-2015 Company A 5,158 0,079 6,927 0,9 892,200 0,000 0,195 1
1-5-2015 Company A 5,158 0,079 6,927 0,9 892,200 0,000 0,195 1
1-11-2015 Company B 5,491 0,135 8,580 0,9 1107,4 0 0,170 2
1-12-2015 Company B 5,491 0,135 8,580 0,9 1107,4 0 0,170 2
1-1-2016 Company B 4,229 0,106 8,616 0,9 1399 0 0,181 2
1-2-2016 Company B 4,229 0,106 8,616 0,9 1399 0 0,181 2
1-3-2016 Company B 4,229 0,106 8,616 0,9 1399 0 0,181 2
1-4-2016 Company B 4,229 0,106 8,616 0,9 1399 0 0,181 2
1-5-2016 Company B 4,229 0,106 8,616 0,9 1399 0 0,181 2
1-6-2016 Company B 4,229 0,106 8,616 0,9 1399 0 0,181 2
1-1-2014 Company C 0,946 0,00713573 14,755008 1,15 870128 352 0,0539174 3
1-2-2014 Company C 0,946 0,00713573 14,755008 1,15 870128 352 0,0539174 3
1-3-2014 Company C 0,946 0,00713573 14,755008 1,15 870128 352 0,0539174 3
1-4-2014 Company C 0,946 0,00713573 14,755008 1,15 870128 352 0,0539174 3
1-5-2014 Company C 0,946 0,00713573 14,755008 1,15 870128 352 0,0539174 3
1-6-2014 Company C 0,946 0,00713573 14,755008 1,15 870128 352 0,0539174 3
1-7-2014 Company C 0,946 0,00713573 14,755008 1,15 870128 352 0,0539174 3
1-8-2014 Company C 0,809 0,00229936 14,755008 1,15 930695 352 0,0635052 3
1-9-2014 Company C 0,809 0,00229936 14,755008 1,15 930695 352 0,0635052 3
1-10-2014 Company C 0,809 0,00229936 14,755008 1,15 930695 352 0,0635052 3
1-11-2014 Company C 0,809 0,00229936 14,755008 1,15 930695 352 0,0635052 3
As you can see in the overview above I have generated a CompanyID to sort and group the panel data per EntityName and ExtractionDate, using the code:
sort EntityName ExtractionDate
egen CompanyID = group(EntityName)

To follow up on the latter, I have stated to STATA that I use panel data using the commands:
xtset CompanyID ExtractionDate
tsset CompanyID ExtractionDate
(resulting in):

. xtset CompanyID ExtractionDate
panel variable: CompanyID (unbalanced)
time variable: ExtractionD~e, 1/1/2014 to 10/1/2020, but with gaps
delta: 1 day

. tsset CompanyID ExtractionDate
panel variable: CompanyID (unbalanced)
time variable: ExtractionD~e, 1/1/2014 to 10/1/2020, but with gaps
delta: 1 day

I want to test for autocorrelation by using the Breusch-Godfrey test (command: estat bgodfrey), but whatever I try I keep getting the error 'sample may not include multiple panels'. The commands I use are:
reg DV1 IV1 IV2 IV3 IV4 IV5
estat bgodfrey
(and then I receive the error 'sample may not include multiple panels')

Does anyone know how I can avoid this error and perform a Breusch-Godfrey test?