  Often it is not easy to choose between estimators, based on the estimated MSE
and bias using simulation studies. Normality in small samples and a variance of
the estimator, which is correct and easy to calculate using a single sample,
give the added advantage that hypotheses concerning the parameter can be tested
in new samples. A procedure to check normality is proposed where previously
published MSE and bias are used to perform a test for normality. A confidence
interval for the index of the S&P500 index is found by applying the results to
estimators of the generalized Pareto distribution.
