The book provides an extensive discussion of asymptotic theory of M-estimators in the context of dynamic nonlinear models. The class of M-estimators contains least mean distance estimators (including maximum likelihood estimators) and generalized method of moments estimators. In addition to establishing the asymptotic properties of such estimators, the book provides a detailed discussion of the statistical and probabilistic tools necessary for such an analysis. The book also gives a careful treatment of estimators of asymptotic variance covariance matrices for dependent processes.