试试：xtabond2 n l(0/1).w l(0/2).(k ys) yr1980-yr1984,gmm(l.n) iv( l(0/1).w l(0/2).(k ys) yr1980-yr1984)

sorry，好像是：xtabond2 n l.n l(0/1).w l(0/2).(k ys) yr1980-yr1984,gmm(l.n) iv( l(0/1).w l(0/2).(k ys) yr1980-yr1984)

谢谢，弄出来了
xtabond2 n l.n l(0/1).w l(0/2).(k ys) yr1980-yr1984,gmm(l.n) iv(l(0/1).w l(0/2).(k ys) yr1980-yr1984,eq(diff)) h(2) small~~

Arellano-Bond test for AR(1) in first differences: z =  -6.56  Pr > z =  0.000
Arellano-Bond test for AR(2) in first differences: z =  -1.65  Pr > z =  0.098
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Sargan test of overid. restrictions: chi2(33)   =  69.15  Prob > chi2 =  0.000
  (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(26)   =  59.10  Prob > chi2 =  0.000
    Difference (null H = exogenous): chi2(7)    =  10.05  Prob > chi2 =  0.186
  iv(w L.w k L.k L2.k ys L.ys L2.ys yr1980 yr1981 yr1982 yr1983 yr1984, eq(diff))
    Sargan test excluding group:     chi2(20)   =  29.95  Prob > chi2 =  0.071
    Difference (null H = exogenous): chi2(13)   =  39.19  Prob > chi2 =  0.000

说明你的 gmm 和 iv 里的变量选择不好吧？Difference-in-Sargan 都拒绝了。。