帮楼主补充一本书，Econometric Theory and Methods by Russell Davidson and James G. MacKinnon。
具体的我就不用多说了，看看Amazon的介绍和评论就足够了。
而且有了中文版，翻译的还可以。
电子版论坛立刻下载。
Econometric Theory and Methods provides a unified treatment of modern econometric theory and practical econometric methods. The geometrical approach to least squares is emphasized, as is the method of moments, which is used to motivate a wide variety of estimators and tests. Simulation methods, including the bootstrap, are introduced early and used extensively.
The book deals with a large number of modern topics. In addition to bootstrap and Monte Carlo tests, these include sandwich covariance matrix estimators, artificial regressions, estimating functions and the generalized method of moments, indirect inference, and kernel estimation. Every chapter incorporates numerous exercises, some theoretical, some empirical, and many involving simulation.
Econometric Theory and Methods is designed for beginning graduate courses. The book is suitable for both one- and two-term courses at the Masters or Ph.D. level. It can also be used in a final-year undergraduate course for students with sufficient backgrounds in mathematics and statistics.
Editorial Reviews
Review
"This is a first class book, modern in conception and flawless in execution. The coverage is superb and it does things that many other books do not do or do not do adequately."--Richard E Quandt, Princeton University
"An excellent book that stands on its own in terms of approach."--Thanasis Stengos, University of Guelph, Canada
"This book teaches the core of econometric theory...with all of the fluency and didactic elegance that we have come to expect of its two authors....One of the book's outstanding features is its carefully constructed exercises which serve to reaffirm the concepts expounded it is chapters. The book has an elegant architecture, and it has been written with close attention to detail. In comparison, most other books that have a similar purpose look like mere agglomerations of econometric building materials. This is the best textbook of econometric theory to have emerged in a long while; and it deserves to find a place on the bookshelf of every instructor. It is bound to find favour with the students."--D.S.G. Pollock, University of London, UK
About the Author
RUSSELL DAVIDSON holds the Canada Research Chair in Econometrics at McGill University in Montreal. He also teaches at GREQAM in Marseille and previously taught for many years at Queen's University. He has a Ph.D. in Physics from the University of Glasgow and a Ph.D. in Economics from the University of British Columbia. Professor Davidson is a Fellow of the Econometric Society and the author of many scientific papers. He is the coauthor of Estimation and Inference in Econometrics (OUP, 1993).
JAMES G. MACKINNON is the Sir Edward Peacock Professor of Econometrics and Head of the Department at Queen's University in Kingston, Ontario, Canada, where he has taught since obtaining his Ph.D. from Princeton University in 1975. He is a Fellow of the Econometric Society and of the Royal Society of Canada and a past President of the Canadian Economics Association (2001-2002). Professor MacKinnon has written more than seventy journal articles and book chapters, and he is the coauthor of Estimation and Inference in Econometrics (OUP, 1993).
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