Most of this book is about paramete

Most of this book is about parameter estimation. In studying that subject, we will usually be interested in determining how best to use the observed data when choosing among competingestimators. That, in turn, requires us to examine the sampling behavior of estimators. In a few cases, such as those presented in Appendix C and the least squares estimator considered inChapter 4, we can make broad statements about sampling distributions that will apply regardless of the size of the sample. But, in most situations, it will only be possible to make approximatestatements about estimators, such as whether they improve as the sample size increases and what can be said about their sampling distributions in large samples as an approximation to the finite samples we actually observe. This appendix will collect most of the formal, fundamental theoremsand results needed for this analysis. A few additional results will be developed in the discussion of time-series analysis later in the book.