The following links are to (mostly) free books and lecture notes available on the web. If you would like to purchase any of the books, the ISBN for each book is a link to the corresponding Amazon.com page.
- Hansen, Bruce E. (2010). Econometrics
- Creel, Michael (2010). Econometrics.
- Manski, C. F. and D. L. McFadden (1981). Structural Analysis of Discrete Data and Econometric Applications. Cambridge: MIT Press (ISBN: 0262131595).
- Manski, C.F. (1988). Analog Estimation Methods in Econometrics. New York: Chapman and Hall (ISBN: 0412011417).
- Train, K. (2003). Discrete Choice Methods with Simulation. Cambridge University Press (ISBN: 0521017157).
- Nonlinear Econometric Analysis by Victor Chernozhukov and Whitney Newey. MIT OpenCourseWare: 14.385, Fall 2007.
- Lecture notes by Herman J. Bierens on undergraduate and graduate econometrics.
- Hansen, L. P. and T. Sargent (1991). Rational Expectations Econometrics. Westview Press (ISBN: 0813378001).
Probability and Statistics
- Devroye, Luc (1986). Non-Uniform Random Variate Generation. Springer-Verlag, New York.
- Basic Probability Theory by Robert B. Ash.
- Lectures on Statistics by Robert B. Ash.
- Some Notes on Asymptotic Theory in Probability by Alen Alexanderian.
Real and Functional Analysis
- Applied Analysis by John Hunter and Bruno Nachtergaele (ISBN: 9810241917)
- Real Variables with Basic Metric Space Topology by Robert B. Ash (ISBN: 078030408X)
Stochastic Optimal Control
- Stochastic Optimal Control: The Discrete-Time Case by Dimitri P. Bertsekas and Steven Shreve (ISBN: 1886529035)
- Dynamic Discrete Choice Models: Methods, Matlab Code, and Exercises, by Jaap Abbring and Tobias Klein.
- Notes on Microeconomic Theory by Nolan H. Miller (Harvard)
- Convergence of Stochastic Processes by David Pollard (1984)
- Introduction to Empirical Processes and Semiparametric Inference by Michael Kosorok (ISBN: 0387749772)
- Empirical Processes: Theory and Applications by David Pollard (1990)
- Empirical Process Theory and Applications by Sara van de Geer
- Lecture Notes on Empirical Processes by Panle Jia
- Writing Scientific Software: A Guide to Good Style by Suely Oliveira and David E. Stewart (ISBN: 0521858968)
- Modeling with Data by Ben Klemens (ISBN: 069113314X)
- High Performance Computing by Charles Severance.
- Successful Lisp: How to Understand and Use Common Lisp by David B. Lamkins (ISBN: 3937526005)
- Real World Haskell by Bryan O’Sullivan, John Goerzen, and Don Stewart (ISBN: 0596514980)