请问xtabond2 做system gmm有没有啥调试技巧,ar(1)和ar(2)都通过了,但是就是Hansen通不过,越调试越差,该怎么办?e.g
lag (0 2)
Arellano-Bond test for AR(1) in first differences: z = -5.04 Pr > z = 0.000
Arellano-Bond test for AR(2) in first differences: z = 1.03 Pr > z = 0.305
Sargan test of overid. restrictions: chi2(17) =18410.58 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(17) = 207.47 Prob > chi2 = 0.000
(Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group: chi2(6) = 35.65 Prob > chi2 = 0.000
Difference (null H = exogenous): chi2(11) = 171.83 Prob > chi2 = 0.000