General textbooks

Some well-known texts:

  • Greene

  • Dougherty

  • Stock and Watson

  • Hayashi

  • @Verbeek. A Guide to Modern Econometrics, in 5th edition in 2017. TOC and preface.

Open access:

Cross Section and Panel Data

MHE is one of few books with excercises reproduced on github.

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.



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