.
以下的Arellano-Bond样本数据运行的结果。
xtabond2 n l(1/2).n l(0/1).w l(0/2).(k ys) yr1980-yr1984 year, gmm(l.n) iv(l(0/1).w l(0/2).(k ys) yr1980-yr1984 year) no
> leveleq noconstant small
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Dynamic panel-data estimation, one-step difference GMM
------------------------------------------------------------------------------
Group variable: id                              Number of obs      =       611
Time variable : year                            Number of groups   =       140
Number of instruments = 41                      Obs per group: min =         4
F(16, 595)    =    109.82                                      avg =      4.36
Prob > F      =     0.000                                      max =         6
------------------------------------------------------------------------------
           n |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
           n |
         L1. |   .6862261   .1486163     4.62   0.000     .3943498    .9781025
         L2. |  -.0853582   .0444365    -1.92   0.055    -.1726298    .0019133
           w |
         --. |  -.6078208   .0657694    -9.24   0.000    -.7369893   -.4786524
         L1. |   .3926237   .1092374     3.59   0.000     .1780858    .6071615
           k |
         --. |   .3568456   .0370314     9.64   0.000     .2841174    .4295739
         L1. |  -.0580012   .0583051    -0.99   0.320    -.1725099    .0565076
         L2. |  -.0199475   .0416274    -0.48   0.632     -.101702    .0618071
          ys |
         --. |   .6085073   .1345412     4.52   0.000      .344274    .8727406
         L1. |  -.7111651   .1844599    -3.86   0.000    -1.073437   -.3488935
         L2. |   .1057969   .1428568     0.74   0.459    -.1747681    .3863619
      yr1980 |   .0029062   .0212705     0.14   0.891    -.0388682    .0446806
      yr1981 |  -.0404378   .0354707    -1.14   0.255    -.1101008    .0292253
      yr1982 |  -.0652767    .048209    -1.35   0.176    -.1599572    .0294037
      yr1983 |  -.0690928   .0627354    -1.10   0.271    -.1923027     .054117
      yr1984 |  -.0650302   .0781322    -0.83   0.406    -.2184787    .0884182
        year |   .0095545   .0142073     0.67   0.502     -.018348     .037457
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z =  -3.94  Pr > z =  0.000
Arellano-Bond test for AR(2) in first differences: z =  -0.54  Pr > z =  0.588
Sargan test of overid. restrictions: chi2(25)   =  65.82  Prob > chi2 =  0.000
  (Not robust, but not weakened by many instruments.)
Difference-in-Sargan tests of exogeneity of instrument subsets:
  ivstyle(l(0/1).w l(0/2).(k ys) yr1980-yr1984 year)
    Sargan test excluding group:     chi2(11)   =  20.61  Prob > chi2 =  0.038
    Difference (null H = exogenous): chi2(14)   =  45.21  Prob > chi2 =  0.000

个人的实证运行结果：
Dynamic panel-data estimation, one-step difference GMM
------------------------------------------------------------------------------
Group variable: id
Number of obs
=
602
Time variable : year
Number of groups
=
169
Number of instruments = 36
Obs per group: min =
0
F(9, 593)
=

5.06
avg =
3.56
Prob > F
=
0.000
max =
7
------------------------------------------------------------------------------

IOWN |
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval]
-------------+----------------------------------------------------------------

IL1 |
.574035
.0908114
6.32
0.000
.3956838
.7523862

Q |
.1386842
.0679149
2.04
0.042

.0053013
.2720672

ROS |
-.0208481
.1870142
-0.11
0.911
-.388139
.3464427

SIZE |
-1.133793
1.824862
-0.62
0.535
-4.717771
2.450185

SIZE2 |
.0282509
.0456884
0.62
0.537
-.0614798
.1179816

GROWTH |
-.018054
.057101
-0.32
0.752
-.1301989
.0940908

Hard_c |
-.0000736
.0035764
-0.02
0.984
-.0070975
.0069502

Sigma |
-.8723561
6.107389
-0.14
0.886
-12.8671
11.12239

AC |
-.1854102
.382212
-0.49
0.628
-.936064
.5652437
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z =
-5.51
Pr > z =
0.000
Arellano-Bond test for AR(2) in first differences: z =
0.95
Pr > z =
0.342

Sargan test of overid. restrictions: chi2(27)
=
64.12
Prob > chi2 =
0.000

(Not robust, but not weakened by many instruments.)

Difference-in-Sargan tests of exogeneity of instrument subsets:

ivstyle(Q ROS SIZE SIZE2 GROWTH Hard_c Sigma AC)

Sargan test excluding group:
chi2(19)
=
51.04
Prob > chi2 =
0.000

Difference (null H = exogenous): chi2(8)
=
13.08
Prob > chi2 =
0.109



为什么Arellano-Bond 例子的会拒绝sargan检验，按理说sargan检验的P值是越大越好的，而且Arellano-Bond 应该是适合用动态面板来做的。
另外，本人的计量结果有没有问题？本人的结果也是拒绝sargan检验。
请懂这方面知识的同学帮看一下，谢谢。