Thread about picking a textbook
Favorite introductory book: Peter Kennedy. A Guide To Econometrics
Very condensed synopsis of undergrad econometrics
Some well-known texts:
Stock and Watson
Cross Section and Panel Data¶
МНЕ, with criticisms by:
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.
Lecture Notes in Microeconometrics - nicely presented topics in econometrics for microeconomics from OLS to bootstrap, with guides to software.
Jeffrey Parker. Fundamental Concepts of Time-Series Econometrics in Theory and Practice of Econometrics. Reed College course
Macroeconomic time series:
Hilde C. Bjørnland and Leif Anders Thorsrud. Applied time series for macroeconomics. (not open source, but good table of contents and has MATLAB code)
Karl Whelan. Time Series and Macroeconomics. (also see RATS code and other lectures on the web site)
Bayesian Methods for Hackers has programming-first approach.
A simple explanation of Naive Bayes Classification, an overwhelmingly popular StackOverflow answer.