Chapter 6 is mainly theoretical and discusses maximum likelihood (ML) estimation. Because in empirical work maximum likelihood is often criticized for its dependence upon distributional assumptions, it is not discussed in the earlier chapters where alternatives are readily available that are either more robust than maximum likelihood or (asymptotically) equivalent to it. Particular emphasis in Chapter 6 is on misspecification tests based upon the Lagrange multiplier principle. While many empirical studies tend to take the distributional assumptions for granted, their validity is crucial for contency of the estimators that are employed and should therefore be tested. Often these tests are relatively easy to perform, although most software does not routinely provide them (yet). Chapter 6 is crucial for understanding Chapter 7 on limited dependent variable models and for a small number of sections in Chapters 8 to 10