This study guide was written by Christopher Dougherty for the module "20 Elements of Econometrics" which he teaches at the University of London and is used with kind permission from the university. It may, therefore, contain some specific references to the module which can be ignored by students using the book on other courses.

Click the links below to open the study guide for each chapter. The study guide includes appendices containing advice on exam preparation and practice questions.

Introduction

What is econometrics and why study it? (PDF 731MB)

Review

Random variables, Sampling, and Estimation (PDF 1.4MB)

Chapter 01

Simple regression analysis (PDF 1.4MB)

Chapter 02

Properties of the regression coefficients and hypothesis testing (PDF 1.7MB)

Chapter 03

Multiple regression analysis (PDF 1MB)

Chapter 04

Transformations of variables (PDF 1.8MB)

Chapter 05

Dummy variables (PDF 2MB)

Chapter 06

Specification of regression variables (PDF 2.3MB)

Chapter 07

Heteroscedasticity (PDF 2MB)

Chapter 08

Stochastic regressors and measurement errors (PDF 1.6MB)

Chapter 09

Simultaneous equations estimation (PDF 2.5MB)

Chapter 10

Binary choice and limited dependent models, and maximum likelihood estimation (PDF 2.5MB)

Chapter 11

Models using time series data (PDF 1.8MB)

Chapter 12

Properties of regression models with time series data (PDF 1.4MB)

Chapter 13

Introduction to non-stationary time series (PDF 1.6MB)

Chapter 14

Introduction to panel data models (PDF 1.2MB)

Chapter 15

Regression analysis with linear algebra primer (PDF 15MB - this is a large file and may take a few moments to download)

Appendices

Exam preparation, questions and tables (PDF 1.5MB)