Dear all,

I am currently working with a dynamic panel data model using the pgmm package in R for GMM estimation. While my model output includes the AR(1) test, I noticed that the AR(2) test results are missing. I have checked my model specification and data, but I am unsure why the AR(2) test is not being reported.

Has anyone encountered this issue before? Could this be related to my data, model specification, or a limitation within the pgmm package? I would appreciate any insights or suggestions on how to address this problem.

Thank you in advance!