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This dictionary presents an accessible source of reference on the main concepts and techniques in econometrics. Featuring entries on all the major areas in theoretical econometrics, the dictionary should by useful for students, both undergraduate and postgraduate, to aid their understanding of the subject. Sorted by alphabetical order, each entry is a short essay which is designed to present the essential points of a particular concept or technique and offer a concise guide to other relevant literature. The book adopts non-technical language to make the topics accessible to those who need to know more about applied econometrics and the underlying econometric theory. It should be useful as a supplement to the standard textbook literature and for students following modular courses.