Chapman and Hall/Crc Monographs on Statistics and Applied Probability Ser.: Inference and Asymptotics by D. R. Cox and O. E. Barndorff-Nielsen (1994, Hardcover)
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ISBN-13: 9780412494406, 978-0412494406. Inference and Asymptotics. It focuses on first-order asymptotic theory, and discusses the need for higher-order theory.