British University in Egypt

Department of Economics,

Econometric Modelling: Draft version

Module Leader: Prof J Paul Dunne

This page contains links to information in Adobe pdf format. If you do not have Adobe Acrobat Reader on your computer, download it from here

Module handbook in pdf format is here

Lecture notes:
  1. Introduction

  2. Ordinary Least Squares
  3. Testing
  4. Specification Testing
  5. Multiple Regression
  6. Relations between F and chi squared
  7. F Tests
  8. Dummy variables
  9. Structural stability tests
  10. Problems with OLS
  11. Autocorrelation
  12. Dynamic models
  13. Heteroscedasticity
  14. Multicollinearity
  15. Functional forms
  16. Outliers
  17. Ommited variable bias
  18. Maximum likelihood estimation and testing Also Ch 4 Kennedy
  19. Unit roots
  20. Cointegration
  21. Identification
  22. Simultaneity and OLS
  23. Instrumental variables

Class exercise data sets

The files are provided in both Microfit and CSV format and Microfit 4.1 can read both types. If you have any problems with the .fit files try the CSV.
To download the data sets press the shift key when you click on the name:
Other stuff
Assessed Exercise 2008-9:


Here are some useful introductory sites which contain quizzes to help with background study. Courtesy of Economics Network

Updated by JPD 19-Nov-2008 07:40 PM