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I'm a student and I'm interested in focusing on the application of econometric theory to "practical" situations. It would be great if you can suggest freely available books along with those that are not. The best thing would be books with explained examples of applications to real data. Also, a good and solid theoric book would be appreciated (maybe with a practical approach to the theory). All the above, whether it would be possible, may consider econometrics in general and macroeconometrics (in this area, along with the general topics, also some specific suggestion on forecasting would be great).
Summing up, the books I would like you to suggest me has to refer to these arguments:
- econometric theory
- applied econometrics
- macroeconometric theory
- applied macroeconometrics
- forecasting
- applied forecasting
I know that's a huge question and every suggestion would be strongly appreciated.

As properly suggested I add that for the applications any of Stata, Eviews and R is ok. About my background I think I can say to have a good graduate preparation, but it is fair for you to suggest books that starts from the basics concepts.

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Experts can provide better suggestions if you give more information about your background, preferred programming language, etc. An absolute beginner myself, I am trying to learn Stats and Econometrics, and their applications using R language, the lingua franca among stats community. So far I have consulted primarily Springer's Use R series and free resources available on CRAN. I found the following particularly useful:

These are rather elementary books. Have a look at CRAN Econometrics Taskview to learn about applications of more advanced topics and even most recent Econometrics research.

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A good (and free) introduction to applied macroeconometrics is the textbook by David Hendry: Introductory Macro-econometrics: A New Approach which walks through several useful examples and explains things fairly intuitively.

It also touches some on forecasting but I would suggest Forecasting Economic Time Series by Mike Clements and David Hendry or Applied Econometric Time Series by Walter Enders or Time series models for business and economic forecasting by Philip H Franses as non-free alternatives that are more advanced.

For more general macroeconometrics in terms of an introduction you could go with Introduction to Econometrics by Stock and Watson.

There are ofcourse many more advanced textbooks but its really just about finding what works for you.

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