Econometrics
============

General textbooks 
-----------------

- Thread about [picking a textbook](http://www.urch.com/forums/phd-economics/127240-just-finished-intro-wooldridge-gurajati-whats-best-text-next-self-study.html)

- Favorite introductory book: [Peter Kennedy. A Guide To Econometrics](https://scholar.google.com/scholar?cluster=16057448950849214316&hl=en&as_sdt=0,5&sciodt=0,5)

- Very condensed synopsis of [undergrad econometrics](https://github.com/tyleransom/EconometricsLabs/blob/master/econometricsCheatSheet.pdf)

Some well-known texts:

 - Greene 
 - Dougherty
 - Stock and Watson
 - Hayashi 
 - [@Verbeek](https://twitter.com/marnoverbeek). A Guide to Modern Econometrics, in 5th edition in 2017. [TOC and preface](https://www.researchgate.net/publication/227488993_A_Guide_to_Modern_Econometrics).

Open access:

 - [Hansen. Econometircs](https://www.ssc.wisc.edu/~bhansen/econometrics/Econometrics.pdf) 
 
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Not econometrics:

- [Sargent-Hansen](http://assets.press.princeton.edu/chapters/c10141.pdf)
  
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Cross Section and Panel Data 
----------------------------

- [Wooldridge. Econometric Analysis of Cross Section and Panel Data](http://bit.ly/2PsGoE6)
- [МНЕ](https://press.princeton.edu/titles/8769.html), with criticisms by: 
  - Diebold: ["sub-sub-sub-area of applied econometrics"](https://fxdiebold.blogspot.com/2015/01/mostly-harmless-econometrics.html)
  - [J. Pearl](https://p-hunermund.com/2017/02/22/judea-pearl-on-angrist-and-pischke)

MHE is one of few books with excercises [reproduced on github](https://github.com/vikjam/mostly-harmless-replication).

Criticism of MHE:

> Rather, it's a companion for a highly-specialized group of applied non-structural micro-econometricians hoping to estimate causal effects using non-experimental data and largely-static, linear, regression-based methods. It's a novel treatment of that sub-sub-sub-area of applied econometrics, but pretending to be anything more is most definitely harmful, particularly to students, who have no way to recognize the charade as a charade.

<https://fxdiebold.blogspot.com/2015/01/mostly-harmless-econometrics.html>

- [Lecture Notes in Microeconometrics](https://www.schmidheiny.name/teaching/shortguides.htm) - nicely presented topics in econometrics for microeconomics from OLS to bootstrap, with guides to software.


Time Series
-----------

Heavyweight:

 - [Hamilton](https://scholar.google.com/scholar?cluster=7489561659476003036&hl=en&as_sdt=0,5)  
 
Other:
 
 - [Diebold](https://www.sas.upenn.edu/~fdiebold/Teaching706/TimeSeriesEconometrics.pdf)  
 - [Granger/Watson time series chapter in Handbook of Econometrics](https://www.sciencedirect.com/science/article/pii/S1573441284020092) 
 - [Enders](http://time-series.net/yahoo_site_admin/assets/docs/enders4_pptsch04.684612.pdf)
 - [Jeffrey Parker. Fundamental Concepts of Time-Series Econometrics](https://www.reed.edu/economics/parker/312/readings.html#S8) in *Theory and Practice of Econometrics. Reed College course* 

Macroeconomic time series:

- [John H. Cochrane. Time Series for Macroeconomics and Finance.](https://faculty.chicagobooth.edu/john.cochrane/research/Papers/time_series_book.pdf)

- [Eric Sims. Graduate Macro Theory II: Notes on Time Series](https://www3.nd.edu/~esims1/time_series_notes_sp13.pdf)

- [Lars Peter Hansen. Time Series Econometrics in Macroeconomics and Finance](http://larspeterhansen.org/wp-content/uploads/2017/11/jpecurrent.pdf)

- [Hilde C. Bjørnland and Leif Anders Thorsrud. Applied time series for macroeconomics.](http://home.bi.no/a1010297/timeseries/) (not open source, but good table of contents and 
has MATLAB code)

- [Karl Whelan. Time Series and Macroeconomics.](http://www.karlwhelan.com/MAMacro/part1.pdf) (also see RATS code and other lectures on the web site)

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To add:
- Judea Pearl on casualty
- p-value crisis
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Вayesian Methods
----------------

- [Bayesian Methods for Hackers](http://camdavidsonpilon.github.io/Probabilistic-Programming-and-Bayesian-Methods-for-Hackers/) has programming-first approach.

- [SciPy 2019 Lecture on Bayesian Model Evaluation and Criticism](https://twitter.com/canyon289/status/1148709146478465025).

- [A simple explanation of Naive Bayes Classification](https://stackoverflow.com/questions/10059594/a-simple-explanation-of-naive-bayes-classification), an overwhelmingly popular 
StackOverflow answer.

- [Doing Bayesian Data Analysis in brms and the tidyverse](https://bookdown.org/ajkurz/DBDA_recoded/)

- [Statistical Rethinking A Bayesian Course with Examples in R and Stan (& PyMC3 & brms & Julia too)](https://xcelab.net/rm/statistical-rethinking/)


Non-economics
-------------

#### Biostatistics

Regression modelling strategies with Applications to Linear Models, Logistic and Ordinal Regression, and Survival Analysis by FE Harrell:

- [course website](http://biostat.mc.vanderbilt.edu/wiki/Main/RmS)
- [free online course notes, >100 pages](http://hbiostat.org/doc/rms.pdf)