Introduction to Asymptotic Theory We can pose the question how estimators and test statistics would behave when the number of observations increases without limit.This is called asymptotic analysis.For more systematic introduction of asymptotic the- ory,see,for example,White (1994,2001)and Davidson (1994). To assess how close the OLS estimator B is to the true parameter value Bo and to derive its asymptotic distribution (after suitable normalization),we briefly review some important convergence concepts and limit theorems. ADVANCED ECONOMETRICS Linear Regression Models with IID Observations March 31,2021 4ADVANCED ECONOMETRICS Linear Regression Models with IID Observations March 31, 2021 4 Introduction to Asymptotic Theory