Estimation, Inference and Specification Analysis Book

	Acknowledgments
1	Introductory Remarks	1
2	Probability Densities, Likelihood Functions and Quasi-Maximum Likelihood Estimators	5
3	Consistency of the QMLE	25
4	Correctly Specified Models of Density	42
5	Correctly Specified Models of Conditional Expectation	62
6	The Asymptotic Distribution of the QMLE and the Information Matrix Equality	88
7	Asymptotic Efficiency	130
8	Hypothesis Testing and Asymptotic Covariance Matrix Estimation	166
9	Specification Testing Via m-Tests	218
10	Applications of m-Testing	261
11	Information Matrix Testing	300
12	Conclusion	345
	Appendix 1: Elementary Concepts of Measure Theory and the Radon-Nikodym Theorem	349
	Appendix 2: Uniform Laws of Large Numbers	351
	Appendix 3: Central Limit Theorems	356
	References	359
	Assumption Index	369
	Definition, Lemma, Proposition, Theorem and Corollary
	Index	371
	Inference Index	373