Suggestions collected from Quora:
- Learn Probability and Statistics. ‘s is a bit rigorous but worth it.
- Learn Linear Algebra. Understanding econometric theory is less tedious with matrix algebra. I recommend course at .
- Learn Econometric theory. Jeffrey Wooldridge’s Introductory Econometrics is an excellent book to begin with.
- Read Peter Kennedy’s A Guide to Econometrics.
- Get a statistical package. is great for beginners. Once you familiarize yourself with the basic Stata environment, solve practise problems of Wooldridge’s book.
- Bring it all together by replicating the results of an economics paper. Replicating papers is the de facto standard of learning applied econometrics in graduate schools. It’s a great confidence booster. The American Economic Review provides access to the datasets and code(sometimes) of the published papers. Choose a simple paper, get the data and replicate its results.The paper I replicated first was . The data is available at Kenneth Froot’s homepage at .