Books for Econometricians

Basic Math:

• Linear Algebra for Economists (Authors: Fuad Aleskerov, Hasan Ersel, Dmitri Piontkovski)

• Matrix Algebra (Author: Karim Abadir)

• Mathematics 1 for Economics -- Linear Spaces and Metric Concepts (Lecture Notes by  josef leydold)

• Mathematics 2 for Economics -- Analysis and Dynamic Optimization (Lecture Notes by  josef leydold)

• Matrix Differential Calculus with Applications in Statistics and Econometrics (Author: Jan R. Magnus)

• Matrix Algebra From a Statistician’s Perspective (Author: David A. Harville)

• Probability and Statistics for Economists (Author: Bruce Hansen)

Asymptotic Theory:

• Asymptotic Theory for Econometricians (Author: Halbert White)

• Elements of Large-Sample Theory (Author: E. L. Lehmann)

• Asymptotic Statistics (Author: A. W. van der Vaart)

Econometrics:

• Econometrics (Author: Bruce Hansen)

• Econometrics (Author: Fumio Hayashi)

• Econometric Analysis of Cross Section and Panel Data (Author: Jeffrey M Wooldridge)

• Time Series Analysis (Author: James Douglas Hamilton)

• Financial Econometrics (Lecture Notes by Kevin Sheppard)

Programming Useful Links

• The Mata Book: A Book for Serious Programmers and Those Who Want to Be (Stata, by William W. Gould)

• An Introduction to Stata Programming (Stata, by Christopher F. Baum)

• Introduction to STATA with Econometrics in Mind (Stata, by John C Frain)

• A Visual Guide to Stata Graphics (Stata, by Michael N. Mitchell)

• Microeconometrics Using Stata (Stata, by A. Colin Cameron and Pravin K. Trivedi)

• An Introduction to Matlab for Econometrics (Matlab, by John C Frain)

• Computational Statistics Handbook with MATLAB (Matlab, by Wendy L. Martinez, Angel R. Martinez)

• Econometric and Statistical Analysis in MATLAB (Matlab, by Kevin Sheppard)

• Introduction to Python for Econometrics, Statistics and Numerical Analysis (Python, by Kevin Sheppard)

• Computational Economics for PhDs (Julia, by Florian Oswald)

• Applied LATEX for Economists, Social Scientists and Others (Latex, by John C Frain)

• LaTeX in 24 Hours A Practical Guide for Scientific Writing (Latex, by Dilip Datta)