计量小白有几个问题想请教一下大家，对于那Difference-in-Hansen tests of exogeneity of instrument subsets:
1、Hansen test excluding group是排除了部分工具变量（也就是我的滞后项做的工具变量）之后的检验值吗，这里几个Hansen test excluding group的P值都为0的意思是未排除的工具变量都无效吗，为什么会这样啊，如何改善未排除部分的工具变量的有效性？
2、Difference (null H = exogenous)是那个C统计量吗，几个Difference (null H = exogenous)的P值都为1是说明我以滞后项做的工具变量都是非常有效的吗？
3、这里的总的Hansen的P值是0.09，应该是通过过度识别检验了，但是lev和lev2不显著，但是在xtdpdsys命令中lev和lev2就显著的了，不过在xtdpdsys中sargan，请问在xtabond2中如何改善lev和lev2的显著性？
估计结果如下：

Dynamic panel-data estimation, two-step system GMM
-----------------------------------------------------------------------------
> -
Group variable: cit                             Number of obs      =      370
> 2
Time variable : year                            Number of groups   =       28
> 5
Number of instruments = 261                     Obs per group: min =        1
> 2
Wald chi2(8)  =    338.92                                      avg =     12.9
> 9
Prob > chi2   =     0.000                                      max =        1
> 3
-----------------------------------------------------------------------------
> -
             |              Corrected
         gdp |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval
> ]
-------------+---------------------------------------------------------------
> -
         gdp |
         L1. |   .3896619   .1132893     3.44   0.001      .167619    .611704
> 8
             |
         lev |   .0016795    .006394     0.26   0.793    -.0108526    .014211
> 6
        lev2 |  -.0001684   .0011813    -0.14   0.887    -.0024838    .002146
> 9
         sav |  -.0137649   .0061568    -2.24   0.025    -.0258321   -.001697
> 8
         pop |   .0272447   .0115033     2.37   0.018     .0046986    .049790
> 8
         gov |  -.0658784   .0228019    -2.89   0.004    -.1105694   -.021187
> 5
         inv |  -.0168256   .0060733    -2.77   0.006    -.0287291   -.004922
> 2
        indu |  -.1485088   .0378034    -3.93   0.000     -.222602   -.074415
> 5
       _cons |   .2294472   .0419907     5.46   0.000     .1471469    .311747
> 5
-----------------------------------------------------------------------------
> -
Instruments for first differences equation
  Standard
    D.gov
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    L(1/2).(lev lev2 sav pop inv indu)
    L(1/2).gdp
Instruments for levels equation
  Standard
    gov
    _cons
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    D.(lev lev2 sav pop inv indu)
    D.gdp
-----------------------------------------------------------------------------
> -
Arellano-Bond test for AR(1) in first differences: z =  -2.08  Pr > z =  0.03
> 8
Arellano-Bond test for AR(2) in first differences: z =   1.32  Pr > z =  0.18
> 7
-----------------------------------------------------------------------------
> -
Sargan test of overid. restrictions: chi2(252)  =3428.68  Prob > chi2 =  0.00
> 0
  (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(252)  = 282.52  Prob > chi2 =  0.09
> 1
  (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:
  GMM instruments for levels
    Hansen test excluding group:     chi2(161)  = 269.32  Prob > chi2 =  0.00
> 0
    Difference (null H = exogenous): chi2(91)   =  13.20  Prob > chi2 =  1.00
> 0
  gmm(gdp, lag(1 2))
    Hansen test excluding group:     chi2(215)  = 277.23  Prob > chi2 =  0.00
> 3
    Difference (null H = exogenous): chi2(37)   =   5.29  Prob > chi2 =  1.00
> 0
  gmm(lev lev2 sav pop inv indu, lag(1 2))
    Hansen test excluding group:     chi2(30)   = 208.84  Prob > chi2 =  0.00
> 0
    Difference (null H = exogenous): chi2(222)  =  73.68  Prob > chi2 =  1.00
> 0
  iv(gov)
    Hansen test excluding group:     chi2(251)  = 282.52  Prob > chi2 =  0.08
> 4
    Difference (null H = exogenous): chi2(1)    =   0.00  Prob > chi2 =  0.95
> 5


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