Forecasters and applied econometricians are often interested in comparing the predictive accuracy of nested competing models. A leading example of nestedness is when predictive ability is equated with ?out-of-sample Granger causality?. In particular, it is often of interest to assess whether...

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and obtain approximations thereof based on an asymptotic scheme which essentially requires the expectation of the first stage F-statistic to converge to a finite (possibly small)...