At the shop screen press R1, Down, L1, Up, Square, X to get extra items at the shop.
On the load/save screen push the following command:
Square, Up, R1, Triangle, Down, Select
And choose a starting level under the medium difficulty setting.
Press R1 twice, L1 twice, Square, Left, Triangle, Circle at that screen to choose a starting level under the hard difficulty setting. You can only choose levels already completed.