At the "Press Start" screen, press X, Y(2), X(2), Y(2) to enable cheat mode. Press Start and load or begin a new game. Then, enter one of the following codes to activate the corresponding cheat function:

Cheat mode

Pause the game, then hold L + R and press Left to enable invincibility and 50,000 point attacks.

Full health

Pause the game, then hold L + R and press Right.

Level skip

Pause the game, then hold L + R and press Down.

-From: psykosonik14.net