I get the same problem with the AR test in PROC PANEL even when my data are all non-missing.
To double check I ran:
proc means data = model_testing3 NMISS N;
RUN;
And indeed, all NMISS = 0.
In fact even when I try to remove the missing lags myself (before invoking PROC PANEL) the same error of "missing values" occurs.
I really hope the error isn't because PROC PANEL generates missing values when it takes first differences and takes the "appropriate lags" of depvar... but I don't see what else it could be.