Does the OLS estimator in simple linear regression converge a.s.? Consider the following model.
Assume $(x_i, u_i)$ is sequence of independent identically distributed random vectors in $\mathbf{R}^{d+1}:$

*

*$x_i$ are $\mathbf{R}^d$-value random vectors, which will represent
the "independent" variables.

*$u_i$ are random variables that represent the "random disturbances."

*The index $i$ represents the observation and we assume different observations are independent.

*We assume that $(x_i, u_i)$ have a common distribution with finite second moment such that $\mathbf{E}(u_i x_i) = 0,$ but leaving the possibility $\mathbf{E}(u_i) \neq 0$ open.

*Let $X_n^\intercal = [x_1, \ldots, x_n]$ be the "data matrix" of type $(n, d)$ ($n$ "rows" and $d$ "columns") filled with the "independent" variables and $v_n = [u_1, \ldots, u_n]^\intercal$ be the "vector of disturbances" or "random error." Again, I am interested in the mathematics but if you prefer to call these a different name due to intuition, be my guest, I only care about maths.

*Assume that $X_n$ has full rank $d.$ Under this assumption, the squared matrix $X_n^\intercal X_n$ (of order $d$) is invertible.

Consider the following linear model
$$
y_n = X_n \beta + v_n,
$$
where $\beta \in \mathbf{R}^d$ is a vector of parameters to be estimated.
I assume that both $y_n$ and $X_n$ are observed, the task is to estimate $\beta.$ To do this, I will use Ordinary Least Squares (OLS). In other words, I want the vector $\beta \in \mathbf{R}^d$ that minimises the quadratic form
$$
\beta \mapsto (y_n - X_n \beta)^\intercal (y_n - X_n \beta).
$$
Being this a quadratic form, any $\hat \beta$ that makes its derivative zero will be a global minimiser. Differentiating (w.r.t. $\beta$) gives the so-called "normal equations"
$$
2 X_n^\intercal(y_n - X_n \beta) = 0
$$
which, by virtue of the hypothesis of full rank of $X_n,$ gives a unique minimiser
$$
\hat \beta_n = (X_n^\intercal X_n)^{-1} X_n^\intercal y_n.
$$
This is the OLS estimate of $\beta$ and obtaining it only requires $X_n$ to have full rank.
Then,
$$
\hat \beta_n = (X_n^\intercal X_n)^{-1} X_n^\intercal y_n = \beta + (X_n^\intercal X_n)^{-1} X_n^\intercal v_n.
$$
Now, consider
$$
X_n^\intercal X_n = [x_1, \ldots, x_n] \begin{bmatrix} x_1^\intercal \\ \vdots \\ x_n^\intercal \end{bmatrix} = \sum_{i = 1}^n x_i x_i^\intercal.
$$
Thus, by the Strong Law of Large Numbers (SLLN), we find
$$
\dfrac{1}{n} X_n^\intercal X_n \to \Sigma_x \quad \mathrm{a.s.},
$$
and since the function $f \mapsto f^{-1}$ is continuous (from the spaces of invertible linear functions onto itself), we see that
$$
n(X_n^\intercal X_n)^{-1} \to \Sigma_x^{-1} \quad \mathrm{a.s.}
$$
Next,
$$
\dfrac{1}{n} X_n^\intercal v_n = \dfrac{1}{n} \sum_{i = 1}^n u_i x_i \to \mathbf{E}(u_1x_1) \quad \mathrm{a.s.},
$$
again by the SLLN and since the sequence $(u_i x_i)$ is independent and identically distributed. As we assume $\mathbf{E}(u_i x_i) = 0,$ we reach that $\hat \beta_n$ is a sequence of estimators that converges a.s. to $\beta.$
But this baffling me, since I am proving that the sequence of OLS estimators converges almost surely and a fortiori in probability to the "true" value of $\beta.$ Why we stop at convergence in probability? Am I missing something? I suppose that one can redo the proof stated above but only assuming that different observations are only uncorrelated and no longer independent; then my applications of the SLLN will break and probably some control in the dispersion matrix of $x$ or the data matrix $X_n$ allows to rescue the convergence but no longer a.s. but this time definitely only in probability.
P.S. After posting this here and how it was received I think I realised I should continue to use math.stackexchange for mathematical in nature questions as opposed to intuition or reference questions. Apologies if this seems too off-topic.

You are correct: the convergence holds almost surely as well. In this case there's essentially no extra effort in getting an almost sure result.
Now, a question as to why the mathematical statistics community is often happy to work with convergence in probability is fundamentally a sociological question, not a mathematical question, so you can't expect to get a completely mathematical answer.
Most of the time (with a few important exceptions) statistics is happy with convergence in probability. Some contributing reasons:

*

*it's true under weaker conditions, especially as regards independence

*the proofs are simpler

*the asymptotic conclusions of most interest are about the behaviour of a single large $n$ rather than the 'infinitely often' behaviour of a whole sequence, in part because the asymptotics is often used to reassure about the behaviour of estimators for a single $n$

*when almost sure convergence is useful as a step in a proof it can often be obtained using (Skorohod/Wichura/Dudley) almost sure representation theorems

There are definitely exceptions, both of sub-fields where almost-sure properties are important and of individuals who are interested in almost sure results, but it's also true that 'in probability' is often enough.
