菜鸟提问：做动态面板，希望niis显著，命令与结果如下，niis显著，但是工具变量数量超过了组的数量，Arellano-Bond test第一个值也有0.2，Hansen test 为1，Difference-in-Hansen tests都很大，还有警告，这样做出来的结果可以使用么？如果不能使用，还可以怎么改进处理。已经尝试过在gmm()里面去掉l.rroa，或者再增加一些变量，但是系数做不出来显著。谢谢。
xtabond2 rroa l.rroa niis ci gdp, gmm(l.rroa ci gdp,collapse) iv(year) twostep robust
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Number of instruments may be large relative to number of observations.
Warning: Two-step estimated covariance matrix of moments is singular.
  Using a generalized inverse to calculate optimal weighting matrix for two-step estimation.
  Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, two-step system GMM
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Group variable: state                           Number of obs      =       266
Time variable : year                            Number of groups   =        19
Number of instruments = 46                      Obs per group: min =        14
Wald chi2(4)  =     56.35                                      avg =     14.00
Prob > chi2   =     0.000                                      max =        14
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             |              Corrected
        rroa |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        rroa |
         L1. |   .1460725    .042727     3.42   0.001      .062329    .2298159
             |
        niis |   .0173638   .0083303     2.08   0.037     .0010367    .0336908
          ci |  -.0227921    .011006    -2.07   0.038    -.0443636   -.0012206
         gdp |   .0618302   .0343271     1.80   0.072    -.0054497      .12911
       _cons |   .8696356   .4839264     1.80   0.072    -.0788427    1.818114
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Instruments for first differences equation
  Standard
    D.(year)
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    L(1/.).(L.rroa ci gdp) collapsed
Instruments for levels equation
  Standard
    _cons
    year
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    D.(L.rroa ci gdp) collapsed
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Arellano-Bond test for AR(1) in first differences: z =  -1.16  Pr > z =  0.246
Arellano-Bond test for AR(2) in first differences: z =  -1.21  Pr > z =  0.226
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Sargan test of overid. restrictions: chi2(41)   =  86.67  Prob > chi2 =  0.000
  (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(41)   =  14.24  Prob > chi2 =  1.000
  (Robust, but can be weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:
  GMM instruments for levels
    Hansen test excluding group:     chi2(38)   =  13.90  Prob > chi2 =  1.000
    Difference (null H = exogenous): chi2(3)    =   0.34  Prob > chi2 =  0.952
  iv(year)
    Hansen test excluding group:     chi2(40)   =  14.24  Prob > chi2 =  1.000
    Difference (null H = exogenous): chi2(1)    =   0.00  Prob > chi2 =  0.998
菜鸟刚上手，麻烦解释详细点，悬赏60个论坛币，一点心意，谢谢。