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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 |
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