The article explores how different statistical estimators can have varying accuracy in predicting a parameter. While traditional theory focuses on large sample sizes, this study delves into the exact distribution of estimators in smaller samples. By analyzing the finite sample distribution functions of estimators, researchers can better understand their performance in real-world scenarios. The findings suggest that the accuracy of estimators can differ significantly in finite samples compared to asymptotic predictions, especially in econometric statistics. This highlights the importance of considering finite sample distributions when evaluating the effectiveness of statistical estimators.