Sunday, October 12, 2014

Illustrating Asymptotic Behaviour - Part II

This is the second in a sequence of three posts that deal with large-sample asymptotics - especially in the context of the linear regression model. The first post dealt with item 1 in this list:
  1. The consistency of the OLS estimator in a situation where it's known to be biased in small samples.
  2. The correct way to think about the asymptotic distribution of the OLS estimator.
  3. A comparison of the OLS estimator and another estimator, in terms of asymptotic efficiency.
No surprise, but this post deals with item 2. To get the most out of it, I strongly recommend reading the first post before proceeding.