On-line books, notes, and other resources
Full text of published books
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Discrete Choice Methods with Simulation by Kenneth Train (2009)
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Qualitative Choice Analysis by Kenneth Train (1993)
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Empirical Processes: Theory and Applications by David Pollard (1990)
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Analog Estimation Methods in Econometrics by Charles Manski (1988)
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Convergence of Stochastic Processes by David Pollard (1984)
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Structural Analysis of Discrete Data and Econometric Applications edited by Charles Manski and Daniel McFadden (1981)
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Urban Travel Demand: A Behavioral Analysis by Tom Domencich and Daniel McFadden (1975)
Full text of unpublished books and notes
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Econometrics by Bruce Hansen (graduate level)
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Econometrics by Michael Creel (graduate level)
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Intermediate and Advanced Econometrics: Problems and Solutions by Stanislav Anatolyev
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Spatial Econometrics by James LeSage (1998 version)
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Lectures in Time-Series Analysis and Forecasting by D.S.G. Pollock
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Statistics/Econometrics Lecture Notes by Daniel McFadden
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MIT "Nonlinear Econometric Analysis" Lecture Notes by Victor Chernozkukov and Whitney Newey
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Linear Regression Models for Panel Data using SAS, Stata, Limdep, and SPSS by Hun Myoung Park
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Analysis of Categorical Dependent Variables with SAS and SPSS by Choong-Geun Chung
On-line econometrics lectures and courses
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What's New in Econometrics (slides, notes, videos) by Guido Imbens and Jeffrey Wooldridge (NBER, 2007)
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What's New in Econometrics: Time Series (slides, notes, videos) by James Stock and Mark Watson (NBER, 2008)
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Distance learning course for Discrete Choice Methods with Simulation by Kenneth Train