Suggested readings:
Cameron and Trivedi, Microeconometrics, Cambridge Press (nice and clear)
Favero, Applied Macroeconometrics, Oxford Press (first chapter only, overview of OLS)
Brandt an Williams, Multiple time series models, Sage publications (for an introduction to VARs. See also other Sage publications of the series "quantitative applications in the social sciences" for simple introductions various topics, like OLS and Panel data)
Kennedy, A Guide to Econometrics, Blackwell Publishing (simple introduction to many topics in Econometrics)
Introductory notes on asymptotic theory here
Notes that I wrote for students:
See page on notes
Simple notes on conditional vs. unconditional expectations here
Monte Carlo simulations on Matlab
Asymptotic results, .m file (convergence in probability and in distribution, LLN and CLT)
Distribution of OLS estimators, .m file
OLS estimators with an endogenous regressor, .m file
Instrumental variable estimation, .m file
Panel data, within vs. first difference transformation, .m file, data, .do file
Dynamic panel inconsistency, .m file
Suggested readings:
Femminis G., A Primer in Dynamic Programming (Essential intro to dynamic macro)
Bagliano and Bertola, Models of Dynamic Macroeconomics, Oxford press (Ch 1-2, Consumption and Tobin's q)
Dixit A., Optimization in Economic Theory, Oxford press (Ch 1-4, maximization techniques, very clear)
Barro and Sala-i-Martin, Economic Growth, (Ch. 1-2, Solow and Ramsey models)