Great Textbooks for Graduate Students [Maroeconomics] [Econometrics] [Time Series] [Math&Statistics] [Microtheory] [Math Economics] [Game&Auction] [Int'l Economics] [Ind. Organization] [Computational] [Finance]     Be sure to check "Economists" for free economics lecture notes.      Macroeconomics Macroeconomic Theory (Economic Theory,..) by Thomas J. Sargent: Bible of Macroeconomics Dynamic Macroeconomic Theory by Thomas J. Sargent Exercises in Dynamic Macroeconomic Theory by Rodolfo Manuelli and Sargent: Manual book for "Dynamic Macroeconomic Theory" problem sets; but it's more than that. Lectures on Macroeconomics by Blanchard and Fischer: Not so hard to understand; Traditional textbook style Economic Growth by Robert J. Barro and Xavier Sala-i-Martin: Complete survey and explanations of current Growth Literature; Great Math Treatment for Dynamic Analysis Advanced Macroeconomics by David Romer: Traditional Textbook Style Intertemporal Macroeconomics by Costas Azariadis: Perfect reference for dynamic analysis Endogenous Growth Theory by Aghion and Howitt: Fabulous survey and explanations about Growth; more focused on Endogenous Growth theory (beyond the Solow-Swan model) Monetary Theory and Policy by Carl E. Walsh; superb textbook; interactions between real and monetary factors; not so hard to understand The Macroeconomics of Self-fulfilling Prophecies by Farmer: Easy to read; Useful treatment that helps understand dynamics in a system of difference equation Elements of Dynamic Optimization by Alpha Chiang: Great textbook for the calculus of variations and optimal control theory; easy to follow and lots of examples Recursive Methods in Economic Dynamics by Stokey and Lucas Jr.: If you are smart and good at Math, you'll love it. Otherwise, forget it! Solutions Manual for Recursive Methods in Economic Dynamics by  Claudio Irigoyen et al.: Now, you can study Stokey and Lucas. :) As you know, Recursive Methods in Economic Dynamics requires complete understanding on each exercise to move on. It's good to have a manual especially for Stokey and Lucas. Recursive Macroeconomic Theory by Ljungqvist and Sargent: Finally published!; Great textbook for dynamic programming; Solutions for exercises in the book available in HERE  Innovation and Growth in the Global Economy by Grossman and Helpman: Absolutely Great book  about growth theory in the open economy [top]     Econometrics A Course in Econometrics by Arthur S. Goldberger: Traditional textbook; simple but very clear explanations Econometric Analysis by William H. Greene: Encyclopedia!; very practical textbook when you do empirical stuff Econometrics by Hayashi: Excellent textbook; if you are leaning toward to time series, you should have this book, since it covers lots of time series topics with easy to follow explanation; you may not like this book when you read it first, be patient, and try to read it again.  An Introduction to Classical Econometric Theory by Ruud: Very comprehensive and rigorous textbook; it uses geometrical illustration often, and it can be very helpful when you are lost in algebra Topics in Advanced Econometrics by Bierens: This book does not cover all area as Greene does. But it gives very rigorous illustration on select topics; Excellent chapters on modes of convergence and nonstationary time series Advanced Econometrics by Takeshi Amemiya: Rather hard to understand if you are not good at math; use elegant and rigorous approach Econometric Methods by Johnston and Dinardo: Simple, easy to understand; good for smart undergraduates, too  Handbook of Econometrics (Handbooks in Economics 2), Vol.4  (edited by Engle and McFadden): Absolutely fantastic book; If you are in econometrics field, you must have one.; very expensive, though Time Series Analysis by James D. Hamilton: Fabulous textbook; every thing you need The Econometrics of Financial Markets by Campbell, Lo, and MacKinlay: It delivers most econometric methods for financial market analysis; Fabulous reference for empirical finance economists A Guide to Econometrics by Peter Kennedy; Simple and intuitive explanations on a wide range of topics; good for smart undergraduates, too Nonparametric Econometrics by Pagan and Ullah: easier to follow; Very popular textbook for non(semi)parametric econometrics Applied Nonparametric Regression by Wolfgang Härdle: Another popular textbook for nonparametric econometrics; excellent illustration on why and how to smooth Limited-Dependent and Qualitative Variables in Econometrics by G.S. Maddala: Classic but excellent textbook especially for microeconometricians; too sad we cannot expect new edition [top]     Time Series Time Series Analysis by James D. Hamilton: Fabulous textbook; every thing you need Time Series Analysis by Box and Jenkins: Traditional textbook Handbook of Econometrics (Handbooks in Economics 2), Vol.4  (edited by Engle and McFadden): Absolutely fantastic book; If you are in econometrics field, you must have one.; very expensive, though Introduction to Statistical Time Series by Wayne Fuller: Traditional textbook for graduate students in economics and statistics; very formal and rigorous; will need only when you want to study time series seriously  Applied Econometric Times Series by Walter Enders: If you have difficulty in understanding Hamilton's book, this book may be good for you.; easy to follow; nice practice of using RATS, SAS, SHAZAM... The Econometric Modelling of Financial Time Series by Terence Mills: You will learn a lot of techniques for empirical analysis of financial markets [top]     Mathematics and Statistics Elementary Classical Analysis by Marsden: Excellent reference book for Economics graduate students; easier to follow and lots of examples to help you understand concepts Mathematical Analysis by Apostol: Good for Economics graduate students who needs firm mathematics background Real Analysis by Royden: Very good real analysis book; if you want to study time series, this is what you have to start with; very good illustration about linear spaces Introduction to Stochastic Dynamic Programming by Sheldon Ross: Dynamic Programming book; concise; great examples Statistical Inference by Casella and Berger: Newly recognized book; good for 1st year Economics graduate students Probability and Measure by Billingsley: Classic and outstanding reference for those in time series field; very comprehensive Optimization by Vector Space Methods by Luenberger: Excellent exposition of Hilbert Space; if you plan to study time series, you may need this book [top]     Microtheory Microeconomic Analysis by Hal R. Varian: Traditional textbook; great problem sets Exercises and Applications for Microeconomic Analysis by Gary Yohe and Hal Varian: Sort of manual book for Varian; more like a study guide, actually  Microeconomic Theory by Mas-Colell, Whinston, and Green: Great textbook; more difficult than Varian, but much better (I think) A Course in Microeconomic Theory by David M. Kreps: If you want to study microeconomics deeply, this will do. [top]     Mathematical Economics Mathematical Economics by Akira Takayama: Old book with encyclopedia style Mathematics for Economists by Simon and Blume: one of the most popular books for 1st graduate students in economics or finance; Pretty neat Mathematics for Economics by Hoy, Livernois, McKenna, Rees, and Stengos: Easy to follow, good illustration of dynamic analysis Fundamental Methods of Mathematical Economics by Chiang: If you are an undergraduate or lack of math treatment, start with this book. [top]     Game and Auction Game Theory for Applied Economists by Robert Gibbons: Great starting point; definitely the easiest one Game Theory by Fudenberg and Tirole: Finished Gibbons? Then move on! Game Theory : Analysis of Conflict by Roger Myerson: Rigorous textbook A Course in Game Theory by Osborne and Rubinstein: Compact but Rigorous textbook Evolutionary Games and Equilibrium Selection by Samuelson: One of the best book for evolutionary game theory, which focuses on dynamic game with learning process Evolutionary Game Theory by Weibull: Compact but rigorous; good illustration that contrast evolutionary game to traditional noncooperative game The Theory of Learning in Games by Fudenberg and Levine: Excellent book by two leading scholars in learning and evolutionary game theory; Compact The Economic Theory of Auctions by Klemperer: The Best! But you don't want to buy this, check your library Auction Theory by Vijay Krishna: Standard auction textbook; Compact but thorough [top]     International Economics Foundations of International Macroeconomics by Obstfeld and Rogoff: Must Have!; the textbook that has almost everything you need to start and keep up with international economics; On-line Solutions are available here. International Macroeconomics and Finance by Nelson Mark: Great textbook; very concise but it integrates theoretical issues with empirics; very good summary on time series methodology Theory of International Trade by Dixit and Norman: Must Read!; perfect starting point for whom start international economics at graduate level Market Structure and Foreign Trade by Helpman and Krugman: Very Intuitive illustration using graphs Handbook of International Economics, Vol.3: If you are in international economics field, you'll need one. Innovation and Growth in the Global Economy by Grossman and Helpman: Absolutely Great book  for open macro growth [top]     Industrial Organization The Theory of Industrial Organization by Jean Tirole: The first primary textbook to treat new industrial organization theory (I don't know much about this field. However, many people in this field recommend this book for a starter.) [top]    Computational Economics Numerical Methods in Economics by Kenneth Judd: As you know, theorists these days solve dynamic programming problem using computer program more often rather than solving simple models analytically by hand. And we also use computer for calibration and simulation to evaluate your models. You may start with this book if you consider such methodology. Applied Computational Economics and Finance by Miranda and Fackler: This book is very practical and you can use variety of well-written Matlab codes from authors. Check out here for Matlab toolbox. [top]    Finance  Dynamic Asset Pricing Theory by Duffie: Best textbook for those specializes in asset pricing; May not be suitable for master students Asset Pricing by Cochrane: If you think Duffie's book  is too challenging, you want this book. Check the author's website to get a sample chapter The Econometrics of Financial Markets by Campbell, Lo, and MacKinlay: It delivers most econometric methods for financial market analysis; Fabulous reference for empirical finance economists [top]