Ullah A. Finite Sample Econometrics

Oxford University Press, 2004. – 240 p. – ISBN: 0198774478, 9780198774471This book provides a comprehensive and unified treatment of finite sample statistics and econometrics, a field that has evolved in the last five decades. Within this framework, this is the first book which discusses the basic analytical tools of finite sample econometrics, and explores their applications to models covered in a first year graduate course in econometrics, including repression functions, dynamic models, forecasting, simultaneous equations models, panel data models, and censored models. Both linear and nonlinear models, as well as models with normal and non-normal errors, are studied.
About the Series
Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.Finite Sample MomentsExact Moments: Normal Case
Exact Moments: Nonnormal Case
Exact Moments: General Case
Approximations of Moments
Finite Sample DistributionsExact Distribution
Approximations of the Distribution of Quadratic Forms
Limiting Distributions
Nonnormal Case
Large-n Edgeworth Expansion
Small-σ Edgeworth Expansion of h(y) (Normal and Nonnormal)
Remarks on the Edgeworth Expansion
Regression ModelModel Specification and Least Squares Estimation
Properties of Estimators
Models with Nonscalar Covariance Matrix of ErrorsGeneral Model with Nonscalar Covariance Matrix
Specialized Models
Dynamic Time Series ModelModel and Least-Squares Estimator
Finite Sample Results for Dynamic ModelSimultaneous Equations ModelSimultaneous Equations Model
Analysis of Weak InstrumentsAppendix Statistical Methods