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

Author

Listed:
  • Yong Bao

    (Purdue University)

  • Aman Ullah

    (Department of Economics, University of California Riverside)

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.

Suggested Citation

  • Yong Bao & Aman Ullah, 2021. "Analytical Finite Sample Econometrics-from A.L.Nagar to Now," Working Papers 202114, University of California at Riverside, Department of Economics, revised Oct 2021.
    • Handle: RePEc:ucr:wpaper:202114
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    References listed on IDEAS

    as
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    Cited by:

    1. Yong Bao & Aman Ullah, 2021. "The Special Issue in Honor of Anirudh Lal Nagar: An Introduction," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 1-8, December.

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    Keywords

    Nagar; finite sample econometrics; k-class estimators;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General

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