Analytical Finite Sample Econometrics-from A.L.Nagar to Now

Yong Bao and Aman Ullah

No 202114, Working Papers from University of California at Riverside, Department of Economics

Abstract: Professor A.L. Nagar was a world-renowned econometrician and an international authority on finite sample econometrics with many path-breaking papers on the statistical properties of econometric estimators and test statistics. His contributions to applied econometrics have been also widely recognized. Nagar's 1959 Econometrica paper on the so-called k-class estimators, together with a later one in 1962 on the double-k-class estimators, provided a very general framework of bias and mean squared error approximations for a large class of estimators and had motivated researchers to study a wide variety of issues such as many and weak instruments for many decades to follow. This paper reviews Nagar's seminal contributions to analytical finite sample econometrics by providing historical backgrounds, discussing extensions and generalization of Nagar's approach, and suggesting future directions of this literature.

Keywords: Nagar; finite sample econometrics; k-class estimators (search for similar items in EconPapers)
JEL-codes: C10 C13 C18 (search for similar items in EconPapers)
Pages: 17 Pages
Date: 2021-08, Revised 2021-10
New Economics Papers: this item is included in nep-ecm, nep-his, nep-hpe and nep-ore
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Citations: View citations in EconPapers (1)

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https://economics.ucr.edu/repec/ucr/wpaper/202114.pdf First version, 2021 (application/pdf)
https://economics.ucr.edu/repec/ucr/wpaper/202114R.pdf Revised version, 2021 (application/pdf)

Related works:
Journal Article: Analytical Finite Sample Econometrics: From A. L. Nagar to Now (2021)
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