This website provides information on econometrics books and online resources.
Econometrics books
 Undergraduate textbooks
 Graduate textbooks
 Other topics: Bayesian econometrics, bootstrap, business statistics/econometrics, count data, duration data, macroeconometrics, Monte Carlo methods, nonparametric econometrics, panel data, quantile regression, Stata, theoretical probability, theoretical statistics, time series
 Textbook price comparison
Undergraduate textbooks

Introductory Econometrics: A Modern Approach 5th edition by Jeffrey M. Wooldridge, SouthWestern College Publishers (2012, 912pp)  This textbook contains a comprehensive treatment of undergraduate econometrics. The book is a bit more technical than some other undergraduate texts (like Stock and Watson's "Introduction to Econometrics"), but most of the advanced mathematics is left as optional material. Wooldridge explains concepts very clearly. The topic coverage goes well beyond the multiple regression model, hitting important topics like binarychoice models, paneldata models, and forecasting techniques. Examples are abundant throughout the text, and many endofchapter exercises (based on real datasets) provide students the opportunity to fully absorb the book's material.

Introduction to Econometrics 3rd edition by James H. Stock and Mark W. Watson, AddisonWesley (2010, 840pp)  This textbook by Stock and Watson is an excellent option for a student's first exposure to econometrics. The book is extremely well written, with interesting empirical examples used to motivate the importance of econometrics to the field of economics. The book is primarily targeted for a less theoretical course in econometrics, but there are several chapters (particularly in Part V of the book) that could be used in a more formal course. Additional resources: book website, sample chapter (from 1st edition), lecture slides, also available in a brief edition.

Essentials of Econometrics 4th edition by Damodar Gujarati and Dawn Porter, McGrawHill/Irwin (2009, 576pp)  Book website, author profile

Principles of Econometrics 4th edition by R. Carter Hill, William E. Griffiths, and Guay C. Lim, Wiley (2011, 758pp)  book website, datasets, a free ebook (by Prof. Lee Adkins) for this textbook using the gretl software package, an EViews guide for Principles of Econometrics, a Stata guide for Principles of Econometrics

Introduction to Econometrics 4th edition by Christopher Dougherty, Oxford University Press (2011, 512pp)  book website, datasets, lecture slides (from Prof. Dougherty), Google preview, free download of gretl software

Using Econometrics: A Practical Guide 6th edition by A. H. Studenmund, AddisonWesley (2010, 648pp)  book website, datasets

Econometric Models and Economic Forecasts by Robert S. Pindyck and Daniel L. Rubinfeld, McGrawHill (1997, 634pp)  Publisher website. Sample programs for textbook exercises.

Statistics and Econometrics: Methods and Applications by Orley Ashenfelter, Phillip B. Levine, and David J. Zimmerman, Wiley (2006, 320pp)  Datasets. Lecture slides.

Econometrics by Example by Damodar Gujarati, Palgrave Macmillan (2011, 320pp)  book website, datasets (Stata format), Google preview
Graduate textbooks

Econometric Analysis 7th edition by William H. Greene, Prentice Hall (2011, 1232pp)  Greene's Econometric Analysis, now in its 6th edition, has long stood as a prominent choice among firstyear graduate econometrics textbooks. The book covers an amazing number of different topics, ranging from finite sample to asymptotic, crosssectional to timeseries, frequentist to Bayesian, and so on. The appendices themselves are extremely valuable, serving as review material on linear algebra and statistical theory (without having to reference other sources for these topics). Additional resources: book website, datasets, solutions manual.

Econometric Analysis of Cross Section and Panel Data 2nd edition by Jeffrey M. Wooldridge, MIT Press (2010, 1096pp)  Unlike many graduate econometrics textbooks, this book jumps right into the asymptotic treatment of linear regression models (rather than spending the first few chapters on finitesample results). The topic coverage is impressive. The first part of the book devoted to estimation of linear regression models (single equation, multiple equation, with and without endogeneity). After a couple of chapters on the theory of different estimators (Mestimators, maximum likelihood estimators), the book proceeds to cover a wide range of models, including panel data models, binary choice models, censored/selection models, count data models, etc. Additional resources: book website, datasets, solutions (oddnumbered problems), errata, Stata examples from the textbook, sample chapter, Google preview.

Econometrics by Fumio Hayashi, Princeton University Press (2000, 690pp)  Hayashi's Econometrics textbook provides a modern formal treatment of graduate econometrics. The book uses generalized method of moments (GMM) estimation as a unifying tool for many of the topics that are covered. (Maximum likelihood methods, and the connected models, are considered separately.) The book starts with linear regression and continues on to models with endogeneity and paneldata models. Unlike some graduate textbooks, this book has a serious treatment of both stationary and nonstationary timeseries models. An impressive amount of material is covered both concisely and clearly. Additional resources: book website, datasets, some solutions, sample chapter, errata, revised chapter on maximum likelihood.

Microeconometrics: Methods and Applications by A. Colin Cameron and Pravin K. Trivedi, Cambridge University Press (2005, 1056pp)  The authors cover an impressive amount of material in this textbook, covering nearly every model used in empirical microeconomics today. Illustrative examples and datasets are used throughout. Additional resources: Book website, datasets, some solutions and extra exercises, errata, Google preview. The book Microeconometrics Using Stata (2009) by Cameron and Trivedi is a valuable resource for Stata users, covering much of the same materials and empirical examples as the Microeconometrics: Methods and Applications textbook.

Mostly Harmless Econometrics: An Empiricist's Companion by Joshua D. Angrist and JornSteffen Pischke, Princeton University Press (2008, 392pp)  This book is not your standard econometrics textbook but is already popular among empirical economists. Rather than focusing too much on theory and models, the authors use examples from published papers to illustrate some of the most common econometric techniques available to today's researchers. The book would make a nice companion to a more theoretical textbook. Additional resources: book website, datasets, sample chapter from publisher, Google preview.

A Guide to Econometrics 6th edition by Peter Kennedy, WileyBlackwell (2008, 600pp)  This book is Kennedy's sixth edition of the "Guide", which has been a widely used reference since its early editions. The "Guide" is not a replacement for your favorite econometrics textbook, but it is a useful reference to have on your bookshelf. A large part of the book (roughly 200 pages) is devoted to the classical regression model and the various violations of its assumptions. The book then hits the big ideas within several additional topics, including limiteddependent variable models, paneldata models, and timeseries models. Additional resources: book website, datasets, book preface.

A Course in Econometrics by Arthur S. Goldberger, Harvard University Press (1991, 432pp)  A shorter option than most modern graduate textbooks, but it provides a concise and rigorous treatment of the material. Google preview. Publisher website.

An Introduction to Classical Econometric Theory by Paul A. Ruud, Oxford University Press (2000, 976pp)  Prof. Ruud provides some of the most rigorous treatments of topics within firstyear graduate econometrics. His use of projections and graphical intuition for regression is very appealing. Author's textbook website (with solutions, errata, and datasets).
Bayesian econometrics

Introduction to Modern Bayesian Econometrics by Tony Lancaster, WileyBlackwell (2004, 416pp)  Google preview.

Contemporary Bayesian Econometrics and Statistics by John Geweke, WileyInterscience (2005, 320pp)  Google preview.

Bayesian Econometric Methods (Econometric Exercises) by Gary Koop, Dale J. Poirier, & Justin L. Tobias, Cambridge University Press (2007, 380pp)  This book provides an impressive collection of exercises and solutions for Bayesian econometrics. Google preview.

Complete and Incomplete Econometrics Models by John Geweke (2010, 176pp)  Google preview.

Introduction to Bayesian Econometrics by Edward Greenberg, Cambridge University Press (2007, 224pp)  resource webpage, Google preview.

Oxford Handbook of Bayesian Econometrics Oxford University Press (2011, 560pp)
Bootstrap

An Introduction to the Bootstrap by Bradley Efron and R. J. Tibshirani, Chapman & Hall (1994, 456pp)  This book provides an easytoread introduction to the bootstrap.

Bootstrap Methods and Their Applications by A. C. Davison and D. V. Hinkley, Cambridge University Press (1997, 594pp)  This book is another easytoread guide to the bootstrap for applied researchers. Several statistical models, in addition to the linear regression model, are covered.

An Introduction to Bootstrap Methods with Applications to R by Michael R. Chernick and Robert A. LaBudde, Wiley (2011, 240pp)  This relatively short book provides a comprehensive guide to implementation of the bootstrap in the opensource statistical platform R.
Business statistics/econometrics

Applied Regression Analysis by Terry E. Dielman, Southwestern (2004, 496pp)

Statistics for Business and Economics 11th edition by David R. Anderson, Dennis J. Sweeney, and Thomas A. Williams, Southwestern (2011, 1120pp)  Book website.
Count data

Regression Analysis of Count Data by A. Colin Cameron & Pravin K. Trivedi, Cambridge University Press (2013, 432pp)  This overview of countdata models and estimation methods was written prior to Cameron and Trivedi's more general books in graduate econometrics. The 2nd edition was published in 2013.
Duration data

The Econometric Analysis of Transition Data by Tony Lancaster, Cambridge University Press (2008, 368pp)  Prof. Lancaster's classic book on duration models is now available in its second edition, updated to account for recent developments in the field. Google preview (note that this preview is for the first edition).
Macroeconometrics

Structural Macroeconometrics by David DeJong and Chetan Dave, Princeton University Press (2011, 428pp)  code and datasets, Google preview.
Monte Carlo methods

Monte Carlo Simulation for Econometricians by Jan Kiviet, NOW Publishers (2012, 198pp)  access to EViews programs.
Nonparametric econometrics

Nonparametric Econometrics: Theory and Practice by Qi Li & Jeffrey Racine, Princeton University Press (2006, 768pp)  Preface available.

Nonparametric Econometrics by Adrian Pagan & Aman Ullah, Cambridge University Press (1999, 444pp)  Google preview.

Semiparametric and Nonparametric Methods in Econometrics by Joel L. Horowitz, Springer (2009, 276pp)
Panel data

Econometric Analysis of Panel Data by Badi Baltagi, Wiley (2008, 366pp)  Now in its fourth edition, this book covers a wide range of paneldata models (linear, nonlinear, dynamic, etc) and their associated estimators. A companion volume is also available.

Analysis of Panel Data by Cheng Hsiao, Cambridge University Press (2002, 368pp)  Prof. Hsiao has updated his classic book on panel data in this second edition and now covers many of the developments of the last 20 years. Sample chapter. Google preview.

Panel Data Econometrics by Manuel Arellano, Oxford University Press (2003, 248pp)  Prof. Arellano covers many paneldata topics, including a very complete treatment of dynamic linear paneldata models. Google preview.
Quantile regression

Quantile Regression by Roger Koenker, Cambridge University Press (2005, 366pp)  This book, written by the foremost expert on quantile regression, contains a comprehensive treatment of quantile regression models and estimation methods.
Stata

An Introduction to Modern Econometrics Using Stata by Christopher F. Baum, Stata Press (2006, 340pp)  This book provides an excellent guide to econometrics using the Stata software package. Author's webpage for the book (including datasets, programs, and errata).

Microeconometrics Using Stata by A. Colin Cameron and Pravin K. Trivedi, Stata Press (2010, 706pp)

Introduction to Time Series Using Stata by Sean Becketti, Stata Press (2013, 741pp)
Theoretical probability

A User's Guide to Measure Theoretic Probability by David Pollard, Cambridge University Press (2001, 320pp)  Google preview.

Probability and Measure by Patrick Billingsley, Wiley (1995, 608pp)
Theoretical statistics

Approximation Theorems of Mathematical Statistics by Robert J. Serfling, Wiley (2001, 400pp)

Asymptotic Statistics by Aad van der Vaart, Cambridge University Press (2000, 460pp)  Google preview.

Introduction to Empirical Processes and Semiparametric Inference by Michael R. Kosorok, Springer (2008, 483pp)  Google preview.

Weak Convergence and Empirical Processes: With Applications to Statistics by Aad van der Vaart and Jon Wellner, Springer (2000, 532pp)  Google preview.
Time Series

Analysis of Financial Time Series by Ruey Tsay, Wiley (2010, 677pp)  Author's webpage with errata, datasets, and more. Google preview.

Time Series Analysis by James Hamilton, Princeton University Press (1994, 820pp)  Data and software for the textbook. Google preview.

Applied Econometric Time Series by Walter Enders, Wiley (2009, 544pp)  Author's textbook webpage.

Econometrics of Financial HighFrequency Data by Nikolas Hautsch, Springer (2011, 386pp)