xtabond2 command and results, there's something wrong about my command

[Taka Sakamoto]

Dear Statalisters:

I implement system-GMM using xtabond2, but I think my command is wrong. My command is

xtabond2 gdpgrow l.ngini l.inflation  l.gfcfgrow l.hfcegrow l.ltotsshead2 l.tradeopen l.lrgdpopc if id~=10, gmm(gd
> pgrow ngini inflation  gfcfgrow hfcegrow ltotsshead2 , lag(2 2) collapse eq(diff)) gmm(gdpgrow ngini inflation  gf
> cfgrow hfcegrow, lag(2 2) collapse eq(level))iv(l.lrgdpopc l.tradeopen ,eq(level)) two robust small

And I get these results. The Sargan and Arellano-Bond test results suggest that everything is not okay:

. xtabond2 gdpgrow l.ngini l.inflation  l.gfcfgrow l.hfcegrow l.ltotsshead2 l.tradeopen l.lrgdpopc if id~=10, gmm(gd
> pgrow ngini inflation  gfcfgrow hfcegrow ltotsshead2 , lag(2 2) collapse eq(diff)) gmm(gdpgrow ngini inflation  gf
> cfgrow hfcegrow, lag(2 2) collapse eq(level))iv(l.lrgdpopc l.tradeopen ,eq(level)) two robust small
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.

Dynamic panel-data estimation, two-step system GMM

Group variable: id                              Number of obs      =       675
Time variable : year                            Number of groups   =        20
Number of instruments = 14                      Obs per group: min =         6
F(7, 19)      =     18.70                                      avg =     33.75
Prob > F      =     0.000                                      max =        37

Corrected
gdpgrow  Coefficient  std. err.      t    P>t     [95% conf. interval]

ngini 
L1.    .3147968   .3118502     1.01   0.325    -.3379132    .9675069

inflation 
L1.   -.3873443   .1194199    -3.24   0.004     -.637293   -.1373956

gfcfgrow 
L1.    .0436497   .0128106     3.41   0.003     .0168368    .0704625

hfcegrow 
L1.    .2276408   .0729948     3.12   0.006     .0748608    .3804207

ltotsshead2 
L1.   -2.563032   1.658896    -1.55   0.139    -6.035143    .9090779

tradeopen 
L1.    .0216229    .017919     1.21   0.242     -.015882    .0591278

lrgdpopc 
L1.   -.0608208   2.105319    -0.03   0.977    -4.467304    4.345662

_cons    13.98035   16.83557     0.83   0.417    -21.25692    49.21761

Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed)
L2.(gdpgrow ngini inflation gfcfgrow hfcegrow ltotsshead2) collapsed
Instruments for levels equation
Standard
L.lrgdpopc L.tradeopen
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed)
DL2.(gdpgrow ngini inflation gfcfgrow hfcegrow) collapsed

Arellano-Bond test for AR(1) in first differences: z =  -3.63  Pr > z =  0.000
Arellano-Bond test for AR(2) in first differences: z =  -2.99  Pr > z =  0.003

Sargan test of overid. restrictions: chi2(6)    =  20.54  Prob > chi2 =  0.002
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(6)    =  11.95  Prob > chi2 =  0.063
(Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:
GMM instruments for levels
Hansen test excluding group:     chi2(1)    =   9.69  Prob > chi2 =  0.002
Difference (null H = exogenous): chi2(5)    =   2.27  Prob > chi2 =  0.811
gmm(gdpgrow ngini inflation gfcfgrow hfcegrow ltotsshead2, collapse eq(diff) lag(2 2))
Hansen test excluding group:     chi2(0)    =   0.00  Prob > chi2 =      .
Difference (null H = exogenous): chi2(6)    =  11.95  Prob > chi2 =  0.063
gmm(gdpgrow ngini inflation gfcfgrow hfcegrow, collapse eq(level) lag(2 2))
Hansen test excluding group:     chi2(1)    =   9.69  Prob > chi2 =  0.002
Difference (null H = exogenous): chi2(5)    =   2.27  Prob > chi2 =  0.811
iv(L.lrgdpopc L.tradeopen, eq(level))
Hansen test excluding group:     chi2(4)    =  11.17  Prob > chi2 =  0.025
Difference (null H = exogenous): chi2(2)    =   0.78  Prob > chi2 =  0.676

I've browsed past Q&As on Statalist, but I cannot tell what's wrong with my command. I'd be grateful if you could guide me in the right direction. I thank you in advance for your kind help.

Thank you.

Taka Sakamoto

[Taka Sakamoto]

I forgot to explain what my variables are. Besides those that are obvious:

ngini=gini coefficients
gfcfgrow=gross fixed capital formation growth
hfcegrow=consumption growth
ltotsshead2=total social spending by government
lrgdpopc=real GDP per capita (level, logged)
Thank you.