The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Finite Sample Econometrics

  • Aman Ullah
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2687

Abstract

Economic models, which provide relationships between economic variables, are useful in making scientific predictions and policy evaluations. Well-known examples include classical linear regression models, where the explanatory variables are assumed to be non-stochastic (fixed) and the errors are normally distributed, and non-classical models, where these assumptions are violated. These non-classical models are frequently used in empirical work, and they include the simultaneous equations model, models with serial correlation and heteroscedasticity, limited dependent-variables models, panel and spatial models, non-linear models, and models with non-normal errors.

Keywords

Asymptotic theory (large sample) econometrics Bootstrap Edgeworth expansion Edgeworth, F. Empirical likelihood estimators Finite sample method in econometrics Generalized least squares estimators Generalized method of moments estimators Hypothesis testing Least squares estimators Likelihood ratio method Linear models Maximum likelihood estimators Monte Carlo methods Quantile estimators Rao’s score Simultaneous equations models Wald’s test 

JEL Classifications

C1 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Aman Ullah
    • 1
  1. 1.