Best Books on econometrics Advanced Macroeconomics by David Romer.

1. Introduction to Econometrics
by

James H. Stock, Harvard University Mark W. Watson, Princeton University 2. Essentials of Econometrics by Damodar N. Gujarati
Econometrics Analysis by William H. Greene and A Course in Econometrics by Arthur S. Goldberger. As in the Microeconomics section, these books cover a lot of material which is introduced for the first time at the graduate level. Chances are you'll encounter the king of all Econometrics books Estimation and Inference in Econometrics by Russell Davidson and James G. MacKinnon. This is a terrific text, because it explains why things work like they do, and does not treat the matter as a "black box" like many econometrics books does. The book is quite advanced, though the material can be picked up fairly quickly if you have a basic knowledge of geometry. Using Econometrics: A Practical Guide, A.H. Studenmund