Hi,

I am working on a research matter where i want to use First Difference GMM.
My approach is: All variables are treated as endogenous and the lagged independent variables are used as an instrument.
Mine depent variable is TOBINSQ and all others are independent variables. When i use the code below, Hanssen test is not above >5% and this starts me to doubt if my approach is ok from the start.
My coeff and prob are according to my expectation, just like AR2.
Could someone help me, what i am doing wrong?

Code:
. xtabond2 TOBINSQ L.TOBINSQ Cashholdings CashSquared Leverage Firmsize Intagibles, gmm(L.TOBINSQ) iv(Cashholdings CashSquared Leverage
>  Firmsize Intagibles Quarter) noleveleq robust small
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
  Using a generalized inverse to calculate robust weighting matrix for Hansen test.
  Difference-in-Sargan/Hansen statistics may be negative.

Dynamic panel-data estimation, one-step difference GMM
------------------------------------------------------------------------------
Group variable: gvkey                           Number of obs      =     49740
Time variable : Timeid                          Number of groups   =      2487
Number of instruments = 216                     Obs per group: min =        20
F(0, 2487)    =         .                                      avg =     20.00
Prob > F      =         .                                      max =        20
------------------------------------------------------------------------------
             |               Robust
     TOBINSQ |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
     TOBINSQ |
         L1. |   .3476544   .0508228     6.84   0.000     .2479949    .4473138
             |
Cashholdings |   .7596626   .3630278     2.09   0.036     .0477948     1.47153
 CashSquared |  -3.170168   .7290482    -4.35   0.000    -4.599773   -1.740564
    Leverage |   .5390822   .2171298     2.48   0.013     .1133085     .964856
    Firmsize |  -2.717946   .2763101    -9.84   0.000    -3.259767   -2.176124
  Intagibles |   .0610802   .2694992     0.23   0.821    -.4673857    .5895461
------------------------------------------------------------------------------
Instruments for first differences equation
  Standard
    D.(Cashholdings CashSquared Leverage Firmsize Intagibles Quarter)
  GMM-type (missing=0, separate instruments for each period unless collapsed)
    L(1/21).L.TOBINSQ
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z =  -5.96  Pr > z =  0.000
Arellano-Bond test for AR(2) in first differences: z =   1.62  Pr > z =  0.105
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(210)  =10370.25 Prob > chi2 =  0.000
  (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(210)  = 798.68  Prob > chi2 =  0.000
  (Robust, but weakened by many instruments.)

Difference-in-Hansen tests of exogeneity of instrument subsets:
  gmm(L.TOBINSQ, lag(1 .))
    Hansen test excluding group:     chi2(0)    =   0.00  Prob > chi2 =      .
    Difference (null H = exogenous): chi2(210)  = 798.68  Prob > chi2 =  0.000
  iv(Cashholdings CashSquared Leverage Firmsize Intagibles Quarter)
    Hansen test excluding group:     chi2(204)  = 749.32  Prob > chi2 =  0.000
    Difference (null H = exogenous): chi2(6)    =  49.36  Prob > chi2 =  0.000