Econometrics is concerned with developing and applying quantitative statistical and mathematical methods in order to gain insight about the principles of economics. It is the combination of economic theory and statistics and is used to analyze and test economic relationships. Although there is a large amount of overlap between econometrics and statistics, a key difference is that statistics is generally studied in the context of controlled experiments while econometrics is carried out using observational data involving agents that interact with each other.

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Class Notes for Econometrics
Notes for a graduate course sequence by Hans G. Ehrbar. Includes PDF versions for several viewing and printing options, exams, and LaTeX source code.
Economagic: Economic Time Series Page
A large collection of government time series datasets, primarily from the United States, available in plain text and Excel format. Includes plotting and regression tools.
Econometric Institutes and Research Centers in the World
A directory of links, arranged by country and state.
Econometric Links of the Econometrics Journal
A comprehensive database of resources for econometricians including software, data, publications, conferences, people, institutions, and jobs.
Econometric Resources on the Net
Designed to assist econometrics students and practicing econometricians, by John Kane.
Econometrics in R
A guide to using R for working with data, regression analysis, and plotting by Grant V. Farnsworth. [PDF]
Econometrics Notes
Graduate level course notes by Michael Creel, written in LyX and licensed under the GNU GPL. Source code, example programs, and a PDF version are available.
Inverse Problems in Econometrics: An Annotated Bibliography
Notes and references for integral equations of the first and second kind and their applications in econometrics, by Marine Carrasco.
New Economics Papers: Econometrics
An announcement service featuring edited reports of new research in econometrics. Offers email and RSS subscriptions and archives.
SoFiE: The Society for Financial Econometrics
An international group dedicated to financial econometrics which organizes an annual conference and sponsors related programs. Associated with the Journal of Financial Econometrics. Includes information on membership and conferences.
UC Berkeley Econometrics Laboratory
A Unix-based facility dedicated to computationally intensive econometrics and statistics. Provides software tutorials and a directory of data sources.
A MathML-enabled wiki about econometrics, statistics, mathematics, and scientific computing.

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