# Finite Sample Econometrics: A Unified Approach

Chapter

## Abstract

In the last six decades, a significant literature has developed on the finite sample econometrics. This includes approximate, analytical and simulation based research analysing the moments and distributions of various econometric estimators and test statistics. Many analytical results, however, are complicated and require the knowledge of various statistical methods.

In this paper we systematically develop unified methods for obtaining both the exact moments and the distributions of econometric estimators and test statistics. The results are derived for the normal case and extended for non-normal cases as well. A general result on the approximations is also given.

### Keywords

Manifold Covariance Shrinkage Autocorrelation Metron## Preview

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