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Analytical Finite Sample Econometrics: From A. L. Nagar to Now

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  • Yong Bao

    (Purdue University)

  • Aman Ullah

    (University of California)

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.

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  • Yong Bao & Aman Ullah, 2021. "Analytical Finite Sample Econometrics: From A. L. Nagar to Now," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 17-37, December.
    • Handle: RePEc:spr:jqecon:v:19:y:2021:i:1:d:10.1007_s40953-021-00261-z
    DOI: 10.1007/s40953-021-00261-z
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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;
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    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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