我知道了，你的xtabond2必须用Mata version的才可以，应该是这样，你试试看

把robust  和 twostep 去掉

我也来学习一下

These tests are performed only by the Mata version of xtabond2, which
requires Stata 9. They can be suppressed for the sake of speed with a
new -nodiffsargan- option.


参考： xtabond2 does automatic difference-in-Sargan tests，http://www.stata.com/statalist/archive/2007-01/msg00019.html

楼主试试。

谢谢楼上啦，刚好也遇到这个问题~

Difference-in-Hansen tests of exogeneity of instrument subsets:
  GMM instruments for levels
    Hansen test excluding group:     chi2(79)   =  83.60  Prob > chi2 =  0.340
    Difference (null H = exogenous): chi2(21)   =  26.27  Prob > chi2 =  0.196
  iv(yr1978 yr1979 yr1980 yr1981 yr1982 yr1983 yr1984)
    Hansen test excluding group:     chi2(93)   = 107.51  Prob > chi2 =  0.144
    Difference (null H = exogenous): chi2(7)    =   2.36  Prob > chi2 =  0.938

楼主的应该是版本问题，11。0可以

学习了。。