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• Lecture Notes

  • Econometrics Class Notes for PhD by William Greene [Course Website]
  • Econometric Analysis of Panel Data Calss Notes for PhD by William Greene [Course Website]
  • Econometrics Manuscript for PhD by Bruce Hansen
  • Time Series Econometrics Course for PhD by Diebold
  • Time Series for Macroeconomics and Finance (2005) for PhD by John Cochrane
  • Econometrics Notes for MA by Paul Soderlind
  • Econometrics Notes for PhD by Paul Soderlind
  • Macroeconomic and Finacial Forecasting by Paul Soderlind
  • NBER Summer Institute Econometrics Lectures

   

• Readings and Others

  • Time Series Econometrics Readings by Bruce Hansen
  • Time Series Analysis Syllabus by James Stock

     

• Software

  • S-Plus | Finmetrics | Zivot Resources | S News Mailing List Archives
  • Gauss | American University | Zivot Resources | Soderlind
  • RATS
  • Ox | Time Series Modelling
  • SAS | UCLA | Little SAS Book
  • EViews
  • Matlab | Matlab Document | LeSage | Matlab Primer | Cliff's GMM Library
  • R | CRAN | Econometrics in R (from J of Statistical Software)
  • Stata | UCLA | Princeton
  • Bayesian Using Gibbs Sampling (BUGS) | Bayesian Analysis Computation Communication (BACC)

   

• Books

  • Introduction to Econometrics by Stock and Watson
  • Introductory Econometrics for Finance by Brooks
  • Introdutory Econometrics by Wooldridge Student Resources
  • Econometric Analysis of Cross Section and Panel Data by Wooldridge
  • Econometric Theory and Methods by Daidson and MacKinnon
  • Econometrics by Hayashi
  • Applied Econometric Time Series by Enders
  • Analysis of Financial Time Series by Tsay
  • Applied Macroeconometrics by Favero
  • Time Series Analysis by Hamliton
  • Modeling Financial Time Series with S-PLUS by Zivot and Wang
  • State-Space Models with Regime Switching by Kim and Nelson
  • Elements of Forecasting by Diebold
  • Non-linear Time Series Models in Empirical Finance by Franses and Dijk
  • Elements of Statistical Learning by Hastie, Tibshirani, and Friedman

   

• Econometrics Lab and Center

  • Cowles Foundation in Yale
  • Econometrics Laboratory Software Archive in UC Berleley
  • Statistical Computing Resources in UCLA