I_am_the_Highway wrote:
Before going into theory, you will have to decide on software first. Excel is very limited to simple OLS (there are some add-ons, but they are either very costly or hardly reliable). EViews and Stata are very newbie-friendly solutions, but R is still the way to go for any serious statistical analysis. There is a vast community around R and tons of books on various special topics.
If you are comfortable with matrix algebra, Greene’s
Econometric Analysis, mostly considered the bible of econometrics (with more than 1200 pages a fitting analogy), is the onyl way to go and will get you from anything OLS to GLM and fixed/random effects models.
http://www.amazon.com/Econometric-Analysis-7th-William-Greene/dp/0131395...
Woolridge is a good intro, if your matrix algebra is rusty. To practice, you will need some software guided book. I recommend Kleiber & Zeileis’
Applied Econometrics in R as a practical intro to regression analysis.
http://www.amazon.com/gp/product/0387773169/ref=s9_simh_gw_p14_d0_i2?pf_...
Once you are comfortable with the above, the next logical step is Tsay’s
Analysis of Financial Time Series, which will get you where I guess you will really want to go - the analysis of finance data. Once you’re done with that I have a whole plethora of follow-up readings for you if you are still interested then.
http://www.amazon.com/Analysis-Financial-Time-Ruey-Tsay/dp/0470414359/re...