xtabond2 with missing AR(2) test

[HA Borrero]

I am running a system GMM regression with the xtabond2 command. Unfortunately, my data has only 4 periods, of which one is lost when differencing it, leaving me with only 3 periods. Because the Arellano-Bond test requires at least 4 periods to test for second-order serial correlation, my regression output does not report the AR(2) test result. I cannot include more time periods. What is the best way going forward? Is there an alternative test for serial correlation in the context of system GMM? Are my results still valid if I can't test for AR(2)? Thank you!

[Sebastian Kripfganz]

Please see my response in the other topic, where I recommend using xtdpdgmm as an alternative to xtabond2: https://www.statalist.org/forums/for...92#post1730392

[HA Borrero]

Thank you very much, Dr. Kripfganz!