Edgeworth series expansions are obtained of the finite sample distributions of the least squares estimator and the associated t ratio test statistic in the context of a first-order noncircular stochastic difference equation. General formulae are given for these expansions up to 0(T^-1) where T is the sample size and explicit representations of these in terms of the true parameters are derived up to 0(T^-1/2). Some numerical comparisons of the approximations and the exact distributions are made in the case of the least squares estimator.