This paper studies the selection of valid and relevant moments for the generalized method of moments (GMM) estimation. For applications with many candidate moments, our asymptotic analysis accommodates a diverging number of moments as the sample size increases. The proposed procedure achieves...

We clear up an ambiguity in Gibbons, Ross and Shanken (1989, GRS hereafter) by providing the correct formula of the GRS test statistic for the multiple factor case and proving its exact F distribution, issues unaddressed in GRS (1989). We theoretically and empirically illustrate the consequences...