Here's a list of most of the books I own, sorted first by topic and then chronologically.

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Econometrics

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Selected authors

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Goldberger
Wold
  • Wold, Herman (1953). Demand Analysis: A Study in Econometrics. John Wiley & Sons, Inc.
  • Wold, Herman (1953). A Study in the Analysis of Stationary Time Series (2nd ed.). Sweden: Almqvist & Wiksell.
  • Wold, Herman O.A. (1964). Econometric Model Building: Essays on the Causal Chain Approach. Amsterdam: North-Holland Publishing Company.
  • Mosbaek, Ernest J.; Wold, Herman O. A. (1969). Interdependent Systems: Structure and Estimation. Amsterdam: North-Holland Publishing Company. ISBN 978-0-444-10051-1.
  • Wold, Herman O. A., ed. (1989). Theoretical Empiricism: A General Rationale for Scientific Model-Building. New York: Paragon House. ISBN 978-0-89226-055-3.

History of econometrics

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  • Krüger, Lorenz; Gigerenzer, Gerd; Morgan, Mary S., eds. (1987). The Probabilistic Revolution Volume 2: Ideas in the Sciences. Cambridge, MA: MIT Press. ISBN 978-0-262-61063-6.
  • Morgan, Mary S. (1992). The History of Econometric Ideas. Historical Perspectives on Modern Economics. Cambridge New York: Cambridge University Press. ISBN 978-0-521-42465-3.
  • Qin, Duo (1997). The Formation of Econometrics: A Historical Perspective. Oxford: Clarendon Pr. ISBN 978-0-19-829287-6.
  • Qin, Duo (2024). Rescuing Econometrics: From the Probability Approach to Probably Approximately Correct Learning. Routledge INEM Advances in Economic Methodology. London ; New York: Routledge Taylor & Francis Group. ISBN 978-1-032-58605-2.

Older econometrics texts (pre-1980)

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Modern econometrics texts (1980-present)

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Graduate textbooks
Undergraduate textbooks
Other

Causal inference

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Time series

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Other economics

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Statistics and mathematics

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Older statistics texts (pre-1990)

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  • Yule, G. Udny (1919). An Introduction to the Theory of Statistics (5th ed.). London: Charles Griffin & Company, Limited.
  • Yule, G. Udny; Kendall, M. G. (1947). An Introduction to the Theory of Statistics (13th ed.). London: Charles Griffin & Company, Limited.
  • Draper, N. R.; Smith, H. (1966). Applied Regression Analysis. Wiley Series in Probability and Mathematical Statistics. John Wiley & Sons. LCCN 66-17641.
  • Morrison, Donald F. (1967). Multivariate Statistical Methods. McGraw-Hill, Inc. LCCN 66-25485.
  • Gnedenko, B. V.; Kolmogorov, A. N. (1968). Limit Distributions for Sums of Independent Random Variables. Translated by Chung, K. L. Addison-Wesley Publishing Company, Inc. LCCN 68-13549.
  • Mosteller, Frederick; Tukey, John W. (1977). Data Analysis and Regression: A Second Course in Statistics. Behavioral Science: Quantitative Methods. Addison-Wesley Publishing Company. ISBN 978-0-201-04854-4.
  • Draper, N. R.; Smith, H. (1981). Applied Regression Analysis. Wiley Series in Probability and Mathematical Statistics (2nd ed.). John Wiley & Sons. ISBN 978-0-471-02995-3.

Modern statistics texts (1990-present)

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Math

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Calculus and analysis
Linear algebra
Numerical and least squares methods

History

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Polish and Russian history

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Holocaust

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