看到有人说大N小T的面板数据，又存在序列相关的话，可以用动态面板数据

但是工具变量的选取很困惑，尤其是先决变量和内生变量，外生变量的界定，拿不准

试图选取工具变量后检验结果如下：

Arellano-Bond test for AR(1) in first differences: z = -17.94  Pr > z =  0.000
Arellano-Bond test for AR(2) in first differences: z =   1.62  Pr > z =  0.106
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Sargan test of overid. restrictions: chi2(91)   = 245.31  Prob > chi2 =  0.000
  (Not robust, but not weakened by many instruments.)

好像Sargan检验说明工具变量选取不当，P值得多少才能说明工具变量适当呢？

盼望回答，先行谢过！~