We're so familiar with "large-sample" asymptotics as a way of characterizing the behaviour of our estimators and tests in econometrics, that we tend to forget that there are other, very interesting ways of evaluating their behaviour, and approximating small-sample behaviour.
I touched on this in an earlier earlier post when I discussed "small-sigma" (or "small error") asymptotics. However, that's by no means the end of the story.
