<p>A good (and free) introduction to applied macroeconometrics is the textbook by David Hendry: <a href="http://www.timberlake.co.uk/media/wysiwyg/intromacroeconometrics/DFHMacroEcts15.pdf" rel="nofollow">Introductory Macro-econometrics: A New Approach</a> which walks through several useful examples and explains things fairly intuitively. </p>

<p>It also touches some on forecasting but I would suggest <a href="http://ebooks.cambridge.org/ebook.jsf?bid=CBO9780511599286" rel="nofollow">Forecasting Economic Time Series</a> by Mike Clements and David Hendry or <a href="http://eu.wiley.com/WileyCDA/WileyTitle/productCd-EHEP003218.html" rel="nofollow">Applied Econometric Time Series</a> by Walter Enders or <a href="http://www.cambridge.org/gb/academic/subjects/economics/econometrics-statistics-and-mathematical-economics/time-series-models-business-and-economic-forecasting-2nd-edition?format=PB" rel="nofollow">Time series models for business and economic forecasting</a> by Philip H Franses as non-free alternatives that are more advanced.</p>

<p>For more general macroeconometrics in terms of an introduction you could go with <a href="http://wps.aw.com/aw_stock_ie_3/" rel="nofollow">Introduction to Econometrics</a> by Stock and Watson.</p>

<p>There are ofcourse many more advanced textbooks but its really just about finding what works for you.</p>

CC BY-SA 3.0
2016-06-18T16:42:28.253Z
2016-06-18T16:42:28.253Z
Andrew M
<p>Experts can provide better suggestions if you give more information about your background, preferred programming language, etc. An absolute beginner myself, I am trying to learn Stats and Econometrics, and their applications using <code>R</code> language, the <em>lingua franca</em> among stats community. So far I have consulted primarily Springer's <a href="https://link.springer.com/search?facet-series=%226991%22&amp;facet-content-type=%22Book%22" rel="nofollow">Use R series</a> and free resources available on <a href="https://cran.r-project.org/web/views/" rel="nofollow">CRAN</a>. I found the following particularly useful:<br></p>

<ul>
<li><a href="http://www.cengage.com/search/productOverview.do?N=11%204294921081&amp;Ntk=P_EPI&amp;Ntt=152961460856007931617237609421833777028&amp;Ntx=mode%2Bmatchallpartial" rel="nofollow">Introductory Econometrics: A Modern Approach</a> by Jeffrey M. Wooldridge</li>
<li><a href="https://www.springer.com/us/book/9780387773162" rel="nofollow">Applied Econometrics with R</a> by Kleiber &amp; Zeileis</li>
</ul>

<p>These are rather elementary books. Have a look at <a href="https://cran.r-project.org/web/views/Econometrics.html" rel="nofollow">CRAN Econometrics Taskview</a> to learn about applications of more advanced topics and even most recent Econometrics research.</p>

CC BY-SA 3.0
2016-06-18T04:50:13.990Z
2016-06-18T04:50:13.990Z
rsl
<p>I'm a student and I'm interested in focusing on the application of econometric theory to "practical" situations. It would be great if you can suggest freely available books along with those that are not. The best thing would be books with explained examples of applications to real data. Also, a good and solid theoric book would be appreciated (maybe with a practical approach to the theory). All the above, whether it would be possible, may consider econometrics in general and macroeconometrics (in this area, along with the general topics, also some specific suggestion on forecasting would be great).<br/>
Summing up, the books I would like you to suggest me has to refer to these arguments:<br/>
- econometric theory <br/>
- applied econometrics <br/>
- macroeconometric theory <br/>
- applied macroeconometrics <br/>
- forecasting <br/>
- applied forecasting <br/>
I know that's a huge question and every suggestion would be strongly appreciated.<br/>
<br/>
As properly suggested I add that for the applications any of Stata, Eviews and R is ok. About my background I think I can say to have a good graduate preparation, but it is fair for you to suggest books that starts from the basics concepts.</p>

<macroeconomics><econometrics><time-series>
Books to self-study applied econometrics
user98139
# Books to self-study applied econometrics

(Asked by: username_0 on 2016-06-17)

I'm a student and I'm interested in focusing on the application of econometric theory to "practical" situations. It would be great if you can suggest freely available books along with those that are not. The best thing would be books with explained examples of applications to real data. Also, a good and solid theoric book would be appreciated (maybe with a practical approach to the theory). All the above, whether it would be possible, may consider econometrics in general and macroeconometrics (in this area, along with the general topics, also some specific suggestion on forecasting would be great).  
Summing up, the books I would like you to suggest me has to refer to these arguments:  
- econometric theory   
- applied econometrics   
- macroeconometric theory   
- applied macroeconometrics   
- forecasting   
- applied forecasting   
I know that's a huge question and every suggestion would be strongly appreciated.  
  
As properly suggested I add that for the applications any of Stata, Eviews and R is ok. About my background I think I can say to have a good graduate preparation, but it is fair for you to suggest books that starts from the basics concepts.

**Tags:** macroeconomics, econometrics, time-series

---

## 2 answers

### Answer by username_1 on 2016-06-18. Score: 1

A good (and free) introduction to applied macroeconometrics is the textbook by David Hendry: [Introductory Macro-econometrics: A New Approach](http://www.timberlake.co.uk/media/wysiwyg/intromacroeconometrics/DFHMacroEcts15.pdf) which walks through several useful examples and explains things fairly intuitively.

It also touches some on forecasting but I would suggest [Forecasting Economic Time Series](http://ebooks.cambridge.org/ebook.jsf?bid=CBO9780511599286) by Mike Clements and David Hendry or [Applied Econometric Time Series](http://eu.wiley.com/WileyCDA/WileyTitle/productCd-EHEP003218.html) by Walter Enders or [Time series models for business and economic forecasting](http://www.cambridge.org/gb/academic/subjects/economics/econometrics-statistics-and-mathematical-economics/time-series-models-business-and-economic-forecasting-2nd-edition?format=PB) by Philip H Franses as non-free alternatives that are more advanced.

For more general macroeconometrics in terms of an introduction you could go with [Introduction to Econometrics](http://wps.aw.com/aw_stock_ie_3/) by Stock and Watson.

There are ofcourse many more advanced textbooks but its really just about finding what works for you.


---

### Answer by username_2 on 2016-06-18. Score: 1

Experts can provide better suggestions if you give more information about your background, preferred programming language, etc. An absolute beginner myself, I am trying to learn Stats and Econometrics, and their applications using `R` language, the *lingua franca* among stats community. So far I have consulted primarily Springer's [Use R series](https://link.springer.com/search?facet-series=%226991%22&facet-content-type=%22Book%22) and free resources available on [CRAN](https://cran.r-project.org/web/views/). I found the following particularly useful:

* [Introductory Econometrics: A Modern Approach](http://www.cengage.com/search/productOverview.do?N=11%204294921081&Ntk=P_EPI&Ntt=152961460856007931617237609421833777028&Ntx=mode%2Bmatchallpartial) by Jeffrey M. Wooldridge
* [Applied Econometrics with R](https://www.springer.com/us/book/9780387773162) by Kleiber & Zeileis

These are rather elementary books. Have a look at [CRAN Econometrics Taskview](https://cran.r-project.org/web/views/Econometrics.html) to learn about applications of more advanced topics and even most recent Econometrics research.


---

