AR(2) 检验不通过是什么原因？

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.  xtabond2  lnz llnz roa la size inter3 gdp m2, gmm( lnz roa la inter3 , lag(2 3)collapse) iv(gdp size m2)twostep robust s
> mall
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.

Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: bank                            Number of obs      =       623
Time variable : year                            Number of groups   =        76
Number of instruments = 16                      Obs per group: min =         3
F(7, 75)      =     39.66                                      avg =      8.20
Prob > F      =     0.000                                      max =        10
------------------------------------------------------------------------------
             |              Corrected
         lnz |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        llnz |     .68236   .0726337     9.39   0.000     .5376663    .8270537
         roa |   .6920266   .1964175     3.52   0.001     .3007429     1.08331
          la |  -.0033063   .0106794    -0.31   0.758    -.0245809    .0179682
        size |   .0555975   .0349243     1.59   0.116    -.0139754    .1251704
      inter3 |  -.0344484   .0168452    -2.04   0.044    -.0680058    -.000891
         gdp |   .0988247   .0490015     2.02   0.047     .0012087    .1964407
          m2 |  -.0258309   .0075339    -3.43   0.001    -.0408393   -.0108226
       _cons |  -.0663269   .5122853    -0.13   0.897    -1.086852    .9541978
------------------------------------------------------------------------------
Instruments for first differences equation
  Standard
    D.(gdp size m2)
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    L(2/3).(lnz roa la inter3) collapsed
Instruments for levels equation
  Standard
    gdp size m2
    _cons
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    DL.(lnz roa la inter3) collapsed
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z =  -5.63  Pr > z =  0.000
Arellano-Bond test for AR(2) in first differences: z =  -2.62  Pr > z =  0.009
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(8)    =   7.35  Prob > chi2 =  0.499
  (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(8)    =   7.80  Prob > chi2 =  0.453
  (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:
  GMM instruments for levels
    Hansen test excluding group:     chi2(4)    =   5.74  Prob > chi2 =  0.220
    Difference (null H = exogenous): chi2(4)    =   2.07  Prob > chi2 =  0.724
  iv(gdp size m2)
    Hansen test excluding group:     chi2(5)    =   6.07  Prob > chi2 =  0.299
    Difference (null H = exogenous): chi2(3)    =   1.73  Prob > chi2 =  0.630

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关键词：是什么原因 Restrictions Instruments differences restriction