How to Interpret Validity of GMM Model Specification - Valid at Subsample Levels?

20 March 2024 0 6K Report

I am currently conducting research on the influence of budget revisions on budget absorption in government units. The estimation method I am using is the system GMM, with approximately 15,000 observations across 10 periods of data (5 years, semi-annual). Among the various models tested, the analysis for all observations (around 15,000 units) still does not yield a valid Hansen J Test (Hansen p-value = 0.00). However, when I conduct decomposition or subsample analysis, I find that the model is valid for certain groups of observations, such as observations in Island A, Sector B.

The questions are:

Is it common practice to conduct subsample analysis when the analysis at the general level is not valid?

How do we interpret modeling that is valid only at specific subsample levels? Can we still conclude that the instruments used are valid partially?

Are there any references I can use to perform subsample analysis as an empirical strategy?

Are there similar studies that have found similar results that can be used as a reference?

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