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Econometrics: Step-by-Step Guide

20 steps from your first regression to panel data, policy evaluation and forecasting — for undergraduate econometrics, master’s refreshers, dissertations and the IB Extended Essay. Each step has worked examples on real datasets, graphs, six practice questions with worked answers and a quick self-check.

Unit 1: FoundationsSteps 1–4 · data, a statistics refresher and the simple regression model
  1. What Is Econometrics?
  2. Probability and Statistics Review
  3. Simple Regression and OLS
  4. Properties of OLS
Unit 2: Multiple RegressionSteps 5–10 · inference, many regressors, functional form and specification
  1. Inference: t-Tests and Confidence Intervals
  2. Multiple Regression
  3. F-Tests and Joint Hypotheses
  4. Functional Form: Logs and Quadratics
  5. Dummy Variables and the Chow Test
  6. Model Specification and Multicollinearity
Unit 3: When the Assumptions FailSteps 11–13 · heteroskedasticity, autocorrelation and endogeneity
  1. Heteroskedasticity
  2. Autocorrelation
  3. Instrumental Variables and 2SLS
Unit 4: Special Data and ModelsSteps 14–16 · binary outcomes, panel data and policy evaluation
  1. Logit, Probit and Binary Outcomes
  2. Panel Data: Fixed and Random Effects
  3. Difference-in-Differences and Regression Discontinuity
Unit 5: Time Series and ProjectsSteps 17–20 · trends, unit roots, forecasting and your own project
  1. Time-Series Regression
  2. Stationarity and Unit-Root Tests
  3. Forecasting and Cointegration
  4. Doing an Empirical Project

Which step do I need?

You are…Steps
First undergraduate econometrics course1–14, then 17 if your course covers time series
Intermediate or second-year module5–19, using 1–4 as a refresher
Master’s refresher before a course starts2–7, then 11–16
Dissertation with cross-section data3–11, 13 and 20
Dissertation with panel or policy data6, 11, 13, 15, 16 and 20
Dissertation with time-series data6, 11, 12, 17–20
IB Extended Essay, A-level or EPQ project1, 3, 5, 6, 8 and 20

Every step follows the same plan: what you will learn, the idea explained with worked examples from the companion datasets, the formula, common mistakes, six practice questions with worked answers and a three-question self-check. New to statistics? Start with step 2, and see the Statistics Made Simple bundle for the full background.

The books behind the guide

Each step is a short version of one chapter of Econometrics Made Simple, which gives the full explanation with Python, R and Stata code for every example.

Econometrics Made Simple textbook coverAll 20 chapters of Econometrics Made Simple cover every step in full, with Python, R and Stata code for every example.Get the textbook · $15Econometrics Made Simple Practice Questions coverPractise until it sticks: Econometrics Made Simple Practice Questions has over 1,150 questions, each with a worked answer.Get the practice book · $9Econometrics Made Simple Complete Bundle coverThe textbook and the practice book together: the Econometrics Made Simple bundle for $19 (was $24).Both books · $19

Studying more than one subject? The Complete Book Bundle includes every Economics, Statistics, Mathematics and Econometrics book.