Applied Econometrics using MATLAB, by James P. LeSage 348 pages
Econometrics by Bruce E. Hansen 355 pages
Spatial Econometrics by James P. LeSage 284 pages
Econometrics IV by Sepán Jurajda 132 pages
What is Econometrics by Bryan W. Brown 46 pages
Lecture notes on Econometrics by Daniel McFadden on his Personal Homepage
Applied Econometrics by Roger Perman Course Webpage I
Dealing with Structural Breaks by P. Perron 92 pages
Unit Roots, Structural Breaks and Trends by J. Stock 103 pages
Time Series Analysis
Vector Autoregressive Models (VAR)
Vector Autoregressions and Cointegration by M. Watson 73 pages
Vector Autoregressions by J. Stock and M. Watson 31 pages
VAR Lecture Notes by M. Watson 10 pages
Notes on Structural VAR Modeling by E. Zivot 18 pages
Cointegration Analysis
Cointegration by J. Dolado, J. Gonzalo and F. Marmol 27 pages
Time Series Analysis, Cointegration and Applications by C. Granger 7 pages
Explaining Cointegration Analysis: Part II, by D. Hendry and K. Juselius 34 pages
