Can someone please guide me on how to do this proof?
you need to show that the sandwich estimator converges in probability to the asymptotic variance of the MLE under the misspecified model.
A start on this proof would be to write your (starting and target) convergence formulae in terms of power=series expansions involving the sample-size. This need only be up to the first-order error terms, using little-oh-in-probability notation.
as you are using log of f i suppose its with likelihood principle. but i want to correct that Variance is HIH^-1 using spectral theory.good day
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