This is an advanced module in econometric theory, aimed at students with some prior knowledge of econometrics. Using matrix algebra, the multiple regression model is analysed, and the theory of estimation and hypothesis testing is developed in this context. Violations of the basic assumptions of the multiple regression model, such as heteroscedasticity, serial correlation, misspecification and measurement error, are analysed from a theoretical perspective. Finally, dynamic models and models of expectations are covered. The specialist econometric software package STATA plays a role, but with a much greater emphasis on techniques than on results.