xtabond2 AR（1）接受原假设，AR (2)却拒绝，如何取舍，

                       
Arellano-Bond test for AR(1) in first differences: z =   0.66        Pr > z        =        0.508
Arellano-Bond test for AR(2) in first differences: z =  -2.97        Pr > z        =        0.003
                       
Sargan test of overid. restrictions: chi2(23)   = 283.28  Prob        > chi2        =        0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(23)   =  29.77  Prob        > chi2        =        0.156
(Robust, but weakened by many instruments.)

                       
Arellano-Bond test for AR(1) in first differences: z =  -9.25        Pr > z        =        0.000
Arellano-Bond test for AR(2) in first differences: z =  -0.58        Pr > z        =        0.564
                       
Sargan test of overid. restrictions: chi2(46)   =1926.84  Prob        > chi2        =        0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(46)   = 207.61  Prob        > chi2        =        0.000
(Robust, but weakened by many instruments.)

这是第一次回归命令;xi:xtabond2 ROA l.ROA l2.ROA l3.ROA  l4.ROA RT  State Size Fage Lev HHI dual SGR i.tt  ,gmm( ROA RT  Size  Lev HHI   dual State SGR Fage ,lag(6 8) collapse) iv(i.tt ) two r sm nom
其结果为：                       
Arellano-Bond test for AR(1) in first differences: z =   0.66        Pr > z        =        0.508
Arellano-Bond test for AR(2) in first differences: z =  -2.97        Pr > z        =        0.003
                       
Sargan test of overid. restrictions: chi2(23)   = 283.28  Prob        > chi2        =        0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(23)   =  29.77  Prob        > chi2        =        0.156
(Robust, but weakened by many instruments.)

第二次回归命令：xi:xtabond2 ROA l.ROA l2.ROA l3.ROA  l4.ROA  RT  State Size Fage Lev HHI dual SGR i.tt, gmm( ROA RT  Size  Lev HHI   dual  SGR  ,lag(2 8) collapse) iv(i.tt State Fage ) two  r sm nom
结果为：
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Arellano-Bond test for AR(1) in first differences: z =  -9.25  Pr > z =  0.000
Arellano-Bond test for AR(2) in first differences: z =  -0.58  Pr > z =  0.564
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(46)   =1926.84  Prob > chi2 =  0.000
  (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(46)   = 207.61  Prob > chi2 =  0.000
  (Robust, but weakened by many instruments.)

难道你的sargan检验和hansen检验没问题吗？

sagan和hansen没过啊！把面板缩短点试试吧。

模型设定存在偏误，你把内生和外生变量调整一下试试。