在系统GMM中，instruments的数量大于groups的数量，怎么办啊

我使用面板数据做系统GMM时，Number of groups <Number of instruments ，怎么办啊？
急！！！请高手解答

Warning: Number of instruments may be large relative to number of observations.
Suggested rule of thumb: keep number of instruments <= number of groups.
Estimating.

Group variable: prov                            Number of obs      =       568
Time variable : year                            Number of groups   =        28
Number of instruments = 305                     Obs per group: min =        18
F(15, 27)     =   1173.69                                      avg =     20.29
Prob > F      =     0.000                                      max =        21

firstly ivregress gmm with a constant

then estat overide,

the larger P value, the better you IV

进行overid检验

用sargen检验是否存在过度识别（overidentification）即可，stata中有命令的，
estate sargen

2# qw
能详细说明一下吗？

Testing for instruments exogeneity

To test for the instruments exogeneity we must have more
instruments than endogenous explanatory variables, i.e. the model
should be overidentified .

The “ test for overidentifying restrictions” can be used to check
for IV exogeneity.

The null hypothesis of the test is “ All instruments are valid”

If the null hypothesis is true, the test statistic will have a chisquared
distribution with degrees of freedom equal to the number
of surplus instruments (overidentifying restrictions).

If the null hypothesis is rejected, it means that at least one of the
instruments is not exogenous or valid.

Unfortunately, the test cannot tell which of the instruments
are not valid.


This is the minimum requirement: we need to have at least as
many instruments as endogenous explanatory variables.

When there are just as many instruments as endogenous
variables, the model is said to be just identified.

If we have more instruments than is strictly necessary, we say
that the model is overidentified.

The number of surplus instruments is sometimes called the
number of overidentifying restrictions.

A model can have a mixture of endogenous and exogenous
explanatory variables.

楼上的几位能否说详细点？我是个菜鸟，做不出来

Go and find a book

maylsm 发表于 2009-8-17 22:59
Testing for instruments exogeneity

To test for the instruments exogeneity we must have more
instruments than endogenous explanatory variables, i.e. the model
should be overidentified .

The “ test for overidentifying restrictions” can be used to check
for IV exogeneity.

The null hypothesis of the test is “ All instruments are valid”

If the null hypothesis is true, the test statistic will have a chisquared
distribution with degrees of freedom equal to the number
of surplus instruments (overidentifying restrictions).

If the null hypothesis is rejected, it means that at least one of the
instruments is not exogenous or valid.

Unfortunately, the test cannot tell which of the instruments
are not valid.


This is the minimum requirement: we need to have at least as
many instruments as endogenous explanatory variables.

When there are just as many instruments as endogenous
variables, the model is said to be just identified.

If we have more instruments than is strictly necessary, we say
that the model is overidentified.

The number of surplus instruments is sometimes called the
number of overidentifying restrictions.

A model can have a mixture of endogenous and exogenous
explanatory variables.

虽然没有明白，但这位兄弟答了三次，悬赏还是给你吧。谢谢