Sunday, January 24, 2016

(Legally) Free Books!

(An earlier version of this post inadvertently included links to "pirated" material. This has now been rectified, and the post has been completely re-written.)

There are several Econometrics books, and comprehensive sets of lecture notes, that can be accessed for free. These include a number of excellent books by world-class econometricians.

Here a few that will get you started:

Thanks to Donsker Class for supplying several of these links.

If you know of others I'd love to hear about them.

© 2016, David E. Giles


  1. Hello Mr. Giles,

    Thank you for a good blog.

    Francis Diebold has a couple of open (preliminary) textbooks on his website:


  2. Would "The Elements of Statiscal Learning" count as an econometrics textbook? Perhaps not, but there are very relevant topics, I believe. It is freely available at the authors' website, e.g. here: The sister book "An Introduction to Statistical Learning" which is a little more basic is also freely available: