Chapter 8 Generalized Method of Moments Estimation 8.1 Introduction to the Method of Moments Estimation 8.2 Generalized Method of Moments (GMM)Estimation 8.3 Consistency of GMM 8.4 Asymptotic Normality of GMM 8.5 Asymptotic Efficiency of GMM 8.6 Asymptotic Variance Estimation 8.7 Hypothesis Testing 8.8 Model Specification Testing 8.9 Empirical Applications 8.10 Conclusion Chapter 9 Maximum Likelihood Estimation and Quasi-Maximum Likelihood Estimation 9.1 Motivation 9.2 Maximum Likelihood Estimation (MLE)and Quasi-MLE 9.3 Statistical Properties of MLE/QMLE 9.3.1 Consistency 9.3.2 Implication of Correct Model Specification 9.3.3 Asymptotic Distribution 9.3.4 Efficiency of MLE 9.3.5 MLE-based Hypothesis Testing 9.4 Quasi-Maximum Likelihood Estimation 9.4.1 Asymptotic Variance Estimation 9.4.2 QMLE-based Hypothesis Testing 9.5 Model Specification Testing 9.6 Empirical Applications 9.7 Conclusion Chapter 10 Conclusion 10.1 Summary 10.2 Directions for Further Study in EconometricsChapter 8 Generalized Method of Moments Estimation 8.1 Introduction to the Method of Moments Estimation 8.2 Generalized Method of Moments (GMM) Estimation 8.3 Consistency of GMM 8.4 Asymptotic Normality of GMM 8.5 Asymptotic E¢ ciency of GMM 8.6 Asymptotic Variance Estimation 8.7 Hypothesis Testing 8.8 Model SpeciÖcation Testing 8.9 Empirical Applications 8.10 Conclusion Chapter 9 Maximum Likelihood Estimation and Quasi-Maximum Likelihood Estimation 9.1 Motivation 9.2 Maximum Likelihood Estimation (MLE) and Quasi-MLE 9.3 Statistical Properties of MLE/QMLE 9.3.1 Consistency 9.3.2 Implication of Correct Model SpeciÖcation 9.3.3 Asymptotic Distribution 9.3.4 E¢ ciency of MLE 9.3.5 MLE-based Hypothesis Testing 9.4 Quasi-Maximum Likelihood Estimation 9.4.1 Asymptotic Variance Estimation 9.4.2 QMLE-based Hypothesis Testing 9.5 Model SpeciÖcation Testing 9.6 Empirical Applications 9.7 Conclusion Chapter 10 Conclusion 10.1 Summary 10.2 Directions for Further Study in Econometrics