Each of these books has had an impact on my thought and action as an applied econometrician. This is a work in progress and I will add to this as I have time.
The Amazon links are to physical books, but in most cases, a Kindle version is available on the reference page. If you purchase one using the Amazon link I will make a small bounty, however, your price is not elevated by that.
Kennedy, P. A guide to econometrics. (2008). Malden, MA: Blackwell. This is my number 1 book on my shelf. See my blog on why here. I also referenced Kennedy here and here. Shoutout to Marc Bellemare who tells why Kennedy is “…hands down my favorite econometrics book.”
Angrist, J. D., & Pischke, J. S. (2008). Mostly harmless econometrics: An empiricist’s companion. Princeton university press.
Pearl, J., & Mackenzie, D. (2018). The book of why: the new science of cause and effect. Basic Books.
Delwiche, L. D., & Slaughter, S. J. (2019). The little SAS book: a primer. sixth edition, SAS Institute. (5th edition (2012), or Exercises and Projects)
Maddala, G. S., & Lahiri, K. (1992). Introduction to econometrics (Vol. 2). New York: Macmillan.
Haider, M. (2015). Getting Started with Data Science: Making Sense of Data with Analytics. IBM Press.
DiNardo, J., & Johnston, J. (1997). Econometric Methods. 4th. Still, one of the finest expositions of the linear model in matrix terms.
Pindyck, R. S., & Rubinfeld, D. L. (1998). Econometric models and economic forecasts (Vol. 4). Boston: Irwin/McGraw-Hill. Most examples in this text are still in the details section of the SAS documentation.
Kmenta, J. Elements of Econometrics. 1997. The University of Michigan Press. A classic that has not since been beat for combining deep mathematical-statistical foundations with the linear model in a version assessable to MA level applied econometrics students.