It is widely known that significant in-sample evidence of predictability does not guarantee significant out-of-sample predictability. This is often interpreted as an indication that in-sample evidence is likely to be spurious and should be discounted. In this paper, we question this...

We examine empirical relevance of three alternative asymptotic approximations to the distribution of instrumental variables estimators by Monte Carlo experiments. We find that conventional asymptotics provides a reasonable approximation to the actual distribution of instrumental variables...

Hall et al. (2007) propose a method for moment selection based on an information criterion that is a function of the entropy of the limiting distribution of the Generalized Method of Moments (GMM) estimator. They establish the consistency of the method subject to certain conditions that include...