We provide an argument for the limitation of Edgeworth expansions to many commonly used statistics in the weak instrument framework. However, we show that Edgeworth expansions hold for approximately similar tests regardless of the identification conditions. Finally, we consider simulation...

We consider the problem of forecasting a single time series, y(t+1), using a linear regression model with k predictor variables, X(t), when each predictor makes a small but nonzero marginal contribution to the forecast. It is well known that OLS is inadmissable when k is at least 3. Although...