Online Textbooks in Econometrics

Jose Fernandez, University of Louisville

A supplementary textbook for econometrics with R, providing examples and quizzes. Based on three courses given by Fernandez.

Published or updated: 2023

Using gretl for Principles of Econometrics, 5th edition

Lee Adkins, Oklahoma State University

Freely downloadable as a 374-page PDF, this manual shows students how to use Gretl software to reproduce all the examples from Hill, Griffiths, and Lim's Principles of Econometrics, 5th edition. The data sets and script files used in the book are also freely downloadable. The current version dates from September 2018.

Published or updated: 2018

Discrete choice methods with simulation

Kenneth Train, University of California, Berkeley

"Discrete choice methods with simulation" is an online text written by Kenneth Train of University of California, Berkeley. The second edition was published by Cambridge University Press in 2009. It covers topics such as numerical maximization, simulation assisted estimation and Bayesian procedures. Each chapter is available as a PDF file to download, and the site also provides an index, bibliography and errata discovered since publication. Users can also download the whole text as a single zip file.

Published or updated: 2014

Licence: Full copyright with permission for educational use

A Course of [Intermediate] Econometrics

D. Stephen G. Pollock, University of Leicester

Online textbook with twenty PDF chapters, from Elementary regression analysis to Multivariate autoregressive moving-average models.

Published or updated: 2003

Time Series Analysis

Alexander Aue, University of California, Davis

Online, freely-reproducible textbook with examples in R. The online layout makes it possible to bookmark individual chapters and sections. The main sections are 1: Basic Concepts in Time Series, 2: The Estimation of Mean and Covariances, 3: ARMA Processes, 4: Spectral Analysis.

Licence: Creative Commons Attribution NonCommercial ShareAlike (CC-BY-NC-SA)