Her time series course notes are [relatively] more accessible: http://ocw.mit.edu/courses/economics/14-384-time-series-anal... A less technical but less up to date time series reference is Cochrane's free book: http://faculty.chicagobooth.edu/john.cochrane/research/paper...

"Econometrics" is just "statistics for economic applications." Time-series plays a big role (because macroeconomics and finance) but self-selection is really the dominant thread. People tend to make choices that they expect to benefit from, and it is often important to account for that in estimation. If that sounds cool to you, definitely check out econometrics. Somewhat shameless plug, but there's a list of the free resources I'm aware of at http://www.econometricslibrary.org/

I always thought that the primary difference between econometrics and statistics was the focus on causality/endogeneity. But I guess that in most cases, the endogeneity is caused by self-selection, e.g. selection into a treatment group, so both viewpoints are valid.

That's a good point and I probably agree with you. "Self-selection" was my quick attempt to translate "endogeneity" into english :)

Econometrics sparked my interest in statistics in general. The field has really spent a lot of time working on problems of "serial correlation," (basically dependencies in time-based measures). One of my former committee members wrote a great introductory text to econometrics, I highly recommend it: http://principlesofeconometrics.com/

^ user name checks out (unless you really do share the same initials as Ronald A Fisher)

Another great book that I read every year for refresher is Nearly Harmless Econometrics. I wish there were something like that more in tune for time series tho

edit: clicked on the link... turns out I have the same book (3rd ed)! So who are you? Hill, Griffiths or Lim?

Thanks for the recommendation. :) Hill was my committee member. One of my best teachers.