xtabond2中sargan检验不通过

用xtabond2 risk1 l.risk1 r1 size profit leverage gdpr housep, gmm(risk1 size profit leverage, lag(2 2)) iv(r1 gdpr housep) 做动态面板系统GMM估计，出现下面结果，好像是sargan检验不通过。请问各位大侠应该怎么调整。

Instruments for first differences equation
  Standard
    D.(r1 gdpr housep)
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    L2.(risk1 size profit leverage)
Instruments for levels equation
  Standard
    r1 gdpr housep
    _cons
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    DL.(risk1 size profit leverage)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z =  -4.05  Pr > z =  0.000
Arellano-Bond test for AR(2) in first differences: z =  -0.67  Pr > z =  0.505
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(84)   = 109.50  Prob > chi2 =  0.032
  (Not robust, but not weakened by many instruments.)
Difference-in-Sargan tests of exogeneity of instrument subsets:
  GMM instruments for levels
    Sargan test excluding group:     chi2(40)   =  68.32  Prob > chi2 =  0.003
    Difference (null H = exogenous): chi2(44)   =  41.17  Prob > chi2 =  0.594
  iv(r1 gdpr housep)
    Sargan test excluding group:     chi2(81)   = 108.57  Prob > chi2 =  0.022
    Difference (null H = exogenous): chi2(3)    =   0.92  Prob > chi2 =  0.820

可以试一下在命令里加上robust，这时会有Hensan J统计量。

rainyfine 发表于 2013-10-7 17:26
可以试一下在命令里加上robust，这时会有Hensan J统计量。

还有什么别的办法没啊？

或加入twostep也有更准确的Hensan J统计量