Statistics/Econometrics often relies on “large sample” (meaning: the number of observations, \(n\), is large) properties of estimators.
Intuition: We generally expect that estimators that use a large number of observations will perform better than in the case with only a few observations.
The second goal of this section will be to introduce an approach to conduct hypothesis testing. In particular, we may have some theory and want a way to test whether or not the data that we have “is consistent with” the theory or not. These arguments typically involve either making strong assumptions or having a large sample — we’ll mainly study the large sample case as I think this is more useful.