ESP8266 only responds AT, AT+RST and AT+GMR commands

Using Arduino Networking, Protocols, and Devices
1

Hello guys, I'm having a problem with my ESP8266, it only responds these 4 commands.

My wiring

My code:

void setup()
{
      Serial2.begin(115200);
      Serial.begin(9600);
}

void loop()
{
     while (Serial2.available()) { Serial.write(Serial2.read()); }
     while (Serial.available()) { Serial2.write(Serial.read()); }
}

I tested these 4 commands (AT, AT+RST, AT+GMR, AT+CWLAP, AT+CWMODE=3) in sequence, the answer of my board was:

AT

OK

AT+RST

OK

ets Jan 8 2013,rst cause:4, boot mode:(3,6)

wdt reset
load 0x40100000, len 1396, room 16
tail 4
chksum 0x89
load 0x3ffe8000, len rtsa8rtumdo
Ai-Thinker Technology Co.,Ltd.

AT+GMR
AT version:0.40.0.0(Aug 8 2015 14:45:58)
SDK version:1.3.0
Ai-Thinker Technology Co.,Ltd.
Build:1.3.0.2 Sep 11 2015 11:48:04
OK

AT+CWLAP

ERROR

AT+CWMODE=3

OK

I'm using a Arduino Mega Board

All of other commands it doesn't responds, why??