Illustrating Asymptotic Behaviour - Part III

This is the third in a sequence of posts about some basic concepts relating to large-sample asymptotics and the linear regression model. The first two posts (here and here) dealt with items 1 and 2 in the following list, and you'll find it helpful to read them before proceeding with this post:

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.

Here, we're going to deal with item 3, again via a small Monte Carlo experiment, using EViews.

Nobel Prize, 2014

From the website of the Royal Swedish Academy of Sciences:

The Prize in Economic Sciences 2014

The Royal Swedish Academy of Sciences has decided to award the Sveriges Riksbanks Prize in Economic Sciences in Memory of Alfred Nobel for 2014 to Jean Tirole, Toulouse 1 Capitole University, France

“for his analysis of market power and regulation”.

Mark Thoma has an excellent round-up of related links on his blog, Economist's View.


© 2014, David E. Giles