A Guide to Modern Econometrics explores a wide range of topics in modern econometrics focusing on what is important for doing and understanding empirical work. It serves as a guide to alternative techniques with the emphasis on practical questions such as when to use a particular approach, what can be gained by its use and what are the drawbacks. It does not concentrate on the formulae behind the approaches and their practical relevance. ∗ A wide range of topics are covered, such as: time series analysis, cointegration, limited dependent variables, panel data analysis and the generalized method of moments ∗ Empirical examples are drawn from a wide variety of fields including labour economics, environmental economics, international economics, finance and macroeconomics ∗ End–of–chapter exercises review key concepts in the light of empirical examples ∗ Data sets for illustrations and exercises available on–line from a web site