Hayashi, F., Econometrics, Princeton University Press, 2000.

Green, W.H., Econometric Analysis, 6th ed., Prentice Hall: Englewood Cli®s, 2008.

Wooldridge, J.M., Econometric Analysis of Cross Section and Panel Data, MIT Press,
2002.

Goldberger, A., A Course in Econometrics, Harvard University Press, 1991.

Sargan, D., Lectures on Advanced Econometric Theory, Basil Blackwell, 1988.

Billingsley, P., Probability and Measure, 3rd ed., Wiley, 1995.

Cameron, A.C. and P.K. Trivedi, Microeconometrics: Methods and Applications, Cam-
bridge University Press, 2005.

Dhrymes, P.J., Topics in Advanced Econometrics: Probability Foundations, Springer-
Verlag, 1989.

Dhrymes, P.J., Topics in Advanced Econometrics: Vol II. Linear and Nonlinear Simulta-
neous Equations, Springer-Verlag, 1994.

Gallant, R.A., An Introduction to Econometric Theory, Princeton University Press, 1997.

Goldberger, A., A Course in Econometrics, Harvard University Press, 1991.

Halmos, P.R., Finite-Dimensional Vector Spaces, Springer-Verlag, 1974.

Magnus, J.R. and H. Neudecker, Matrix Di®erential Calculus with Applications in Statis-
tics and Economics, John Wiley & Sons, 1988.

Muirhead, R.J., Aspects of Multivariate Statistical Theory, John Wiley & Sons, 1982.

White, H., Asymptotic Theory for Econometricians, Academic Press, 1984.

Gallant, An Introduction to Econometric Theory, Princeton University Press (a good text to review the basic notions of probability and statistics)

Christiaan Heij, Paul de Boer, and et al., Econometric Methods with Applications in Business and Economics,Oxford University Press (detailed explanation and many example illustration)

James Stock and Mark Watson, Introduction to Econometrics, Addison Wesley (a good intuitive explanation of the use of various methods)

Ernst Berndt, The Practice of Econometrics: Classic and Contemporary, Addison Wesley (an interesting book with economic applications)

Paul Ruud, An Introduction to Classical Econometric Theory, Oxford (a good book with detailed step-by-step explanations for the classical techniques)

Jeff Wooldridge, Econometric Analysis of Cross Section and Panel Data, MIT Press (a beautiful econometrics (advanced level) book with good discussion of the most frontier econometric work, one of my favorite)

Russell Davidson and James McKinnon, Estimation and Inference in Econometrics, Oxford (a good one for those who are interested in theory and numerical techniques)

Fumio Hayashi, Econometrics, Princeton University Press (a good combination of theory and applied exercises)