Microeconomics

▼

Mas-Colell / Whinston / Green “Microeconomic Theory” (Oxford, 1e: 1995) ☼
The indispensable standard. You’ll read it cover to cover, probably more than once.

Reny / Jehle “Advanced Microeconomic Theory” (Addison-Wesley, 2e: 2000) ☼
Although an advanced undergraduate text, it covers similar content to MWG and can serve as an introduction.

Varian “Microeconomic Analysis” (W.W. Norton, 3e: 1992) ☼
Varian is known for being very clear and to-the-point. Less formal than MWG and more selective in content.

One of the best things to read in preparation for first-year micro (or along with it) is Hirshleifer / Riley's "Analytics of Uncertainty and Information;" a very intuitive introduction to these key topics. Billed as a graduate micro textbook, but not formal enough for today's demands, is "A Course in Microeconomic Theory" ☼ by Kreps - some enjoy it as a conceptual starter that covers all the major topics (though, for an appetizer, it's a bit too calorific - long-winded - for my taste). Gibbons' "Primer in Game Theory" (alternate title" "Game Theory and Applications" ☼) is an idea for a preview of game theory with many interesting examples.

One will typically need a specialized game theory book from the second term (although MWG cover game theory in some depth). Osborne / Rubinstein's "A Course in Game Theory" and Myerson’s “Game Theory: Analysis of Conflict” are good and reasonably priced. Fudenberg / Tirole’s “Game Theory” is an extensive, more formal, treatment. Tirole’s “The Theory of Industrial Organization” is the standard in that subfield (preferable, in my opinion, to the more recent "Industrial Organization: Theory and Applications" ☼ by Shy, although that includes new topics). The burgeoning importance of agency theory called for a dedicated textbook, which is now available from the Tiroles of information economics, Laffont / Martimort ("The Theory of Incentives").

Mathematical economics

▼

De la Fuente “Mathematical Methods and Models for Economists” (Cambridge, 1e: 2000)
Comprehensive and lucidly written. A bargain at the price.

Simon / Blume “Mathematics for Economists” (W.W. Norton, 1e: 1994) ☼
This is actually too basic for the first year, but can serve as a review. Thorough coverage of linear algebra. 

Sundaram “A First Course in Optimization Theory” (Cambridge, 1e: 1996)
Optimization theory, as the title says. Modern and accessible; unfortunately, it omits many proofs.

If Simon / Blume is hard going, then (you should be rather worried and lose no time but) grab Chiang's "Fundamental Methods of Mathematical Economics," which will take you by the hand through everything you should already know (but no real analysis). (Incidentally, Chiang's other book, "Elements of Dynamic Optimization" is not worth getting: it's in continuous time, whereas in much of modern macro you want discrete time.) Should the "Fundamental Methods" address critical needs, you might as well invest another fifteen dollars for Schaum's "Outline of Mathematical Economics" (by Dowling), with a wealth of solved problems.

A classic, very accessible reference for optimization is Intriligator's "Mathematical Optimization and Economic Theory." Dixit's "Optimization in Economic Theory" is brief and conceptual, makes good (though perhaps not essential) bedtime reading. For those who have seen it all before and just need a quick review, the Dover reprint of Lancaster's "Mathematical Economics" is cheap and handy; it treats (a somewhat dated choice of) optimization topics in the main part, and relegates background material to a well-written set of appendices.

A little book of pure math that squeezes all the best definitions and proofs into a pocket-sized format, Rudin's "Principles of Mathematical Analysis" ☼ (or "Baby Rudin"), would come highly recommended as a reference if it weren't so outrageously priced outside the ☼ markets. More advanced treatments like Royden’s “Real Analysis” and Rudin’s “Real and Complex Analysis,” ☼ which cover functional analysis, measure theory, and complex numbers, become useful in the second term and second year. If you want to learn measure theory (which eventually is necessary for micro theory and econometrics, but ... down the road), the best introduction is Capinski / Kopp's "Measure, Integral and Probability." Kelley's "General Topology" is a terrific old text; for a concise introduction to basic topology at the right price, see the Dover edition of Mendelson's "Introduction to Topology."

Macroeconomics

▼

Blanchard / Fischer “Lectures on Macroeconomics” (MIT, 1e: 1989)
The old stand-by, still good for a solid, "eclectic" first-semester course.

Ljungqvist / Sargent “Recursive Macroeconomic Theory” (MIT, 1e: 2000)
Samples a lot of modern technique and selected applications; reads like a set of rough lecture notes. Now a voluminous second edition has been drafted and is still available for free downloading (as is a first go at a solution manual).

Romer “Advanced Macroeconomics” (McGraw-Hill, 2e: 2001) ☼
Thoughtful and empirically driven, at an undergraduate level, really. In survey manner, the book covers the intuition of influential models, but does not attempt to build technical skills.

There are many approaches to teaching first-year macro, but roughly we could group them into those that consistently work with special cases of the neoclassical growth model and those covering an eclectic range of models with diverse assumptions and occasional handwaving about micro foundations in favor of an interesting result. The former school of thought is sometimes labeled as "freshwater" (since its proponents are located around the Great Lakes), and the latter as "saltwater" (as it is popular along the US coasts). My impression is that the "freshwater" school is carrying the day and dominating the modern literature, but not everyone would agree. There is now a nice introduction to dynamic programming, numerical methods, stochastic growth, time series econometrics etc. all in one small book: Adda / Cooper's "Dynamic Economics: Quantitative Methods and Applications." It's an ideal and reasonably priced entry to "freshwater macro."

Sargent has an older text, called “Dynamic Macroeconomic Theory,” accompanied by Manuelli's solution manual - I haven’t read this, but by the looks of the content, it is still relevant (less true of the immediate predecessor, Sargent's "Macroeconomic Theory"). Azariadis’ “Intertemporal Macroeconomics” I haven’t read; it appears to emphasize differential equations and dynamic methods with a "freshwater" leaning. Chicago-schoolers swear by Stokey / Lucas / Prescott's “Recursive Methods in Economic Dynamics,” a detailed exposition of dynamic programming theory and a second-term / second-year must-read for macroeconomists. Now there's a solution manual (Irigoyen et al.) - you'll probably need it.

For growth theory, the standard source is Barro / Sala-i-Martin’s “Economic Growth” ☼, a good overview. Aghion / Howitt’s “Endogenous Growth Theory” is a specialized treatment. Open economy macroeconomics is covered extensively (and, by all accounts, very well) in Obstfeld / Rogoff’s “Foundations of International Macroeconomics.” For numerical methods, which have become essential to computational macroeconomics, Judd’s text “Numerical Methods in Economics” is widely used - but it is not (as one might expect) a simultaneous introduction to Matlab.

Econometrics

▼

Casella / Berger “Statistical Inference” (Wadsworth, 2e: 2001) ☼
More demanding, more modern than Hogg and Craig, and infinitely the preferable probability and statistics text of the two.

Greene “Econometric Analysis” (Prentice Hall, 4e: 1999) ☼
Emphasizes maximum likelihood as an organizing principle. The book is rather too encyclopedic to study from, but it is a useful reference.

Hayashi “Econometrics” (Princeton, 1e: 2000) ☼
Even though the GMM perspective makes it perhaps a more difficult book at first, the approach is theoretically attractive and modern. It’s well-written, too, at a comfortable level.

Hogg / Craig “Introduction to Mathematical Statistics” (Prentice Hall, 5e: 1994) ☼
Incomprehensibly, this weary oldtimer is still a standard text. Overexplains and shys from the use of complex variables.

Ruud “An Introduction to Classical Econometric Theory” (Oxford, 1e: 2000)
Though I have not read it, people rave about the detailed exposition and instructive proofs.

The gaping void in the market for books on the mathematical foundations of econometrics is about to be redressed by the forthcoming titles by Bierens and McFadden (see the online lecture notes for the manuscripts). Gallant’s “An Introduction to Econometric Theory” runs along the same lines, but is quite brief, and somehow not an entirely satisfying book to learn from. Billingsley’s “Probability and Measure” ☼ is a higher-pitched, well-regarded probability text that also develops measure theory. Shiryayev's "Probability" is its equally admired competitor. (But both are difficult books if you're not well-trained in analysis.) White's "Asymptotic Theory for Econometricians" covers the same class of topics, perhaps more accessibly (and certainly more concisely).

Good review books in econometrics, albeit not at the technical level of graduate school, are Johnston / DiNardo’s “Econometric Methods” ☼ and Verbeek’s “A Guide to Modern Econometrics.” ☼ That intimidating tome by Judge et al., "Introduction to the Theory and Practice of Econometrics" ☼ offers a very nice, comprehensive approach to estimation at a closer look, and it's at the right technical level. Davidson / MacKinnon's “Estimation and Inference in Econometrics” is popular with econometricians and supposedly "deep;" it may offer more detail and rigor than initially needed. Then there's a whole series of graduate econometrics texts by Gourieroux / Monfort, reportedly much in the French tradition of excellent precision and terrible pedagogics.

The standard specialty text for time series is Hamilton’s exhaustive “Time Series Analysis.” Enders' "Applied Econometric Time Series" ☼ is a far more basic and selective introduction. For limited dependent variables, there's Maddala’s “Limited-Dependent and Qualitative Variables in Econometrics.” For panel data, Baltagi’s “Econometric Analysis of Panel Data” or Wooldridge's "Econometric Analysis and Panel Data," or yet Hsiao's "Analysis of Panel Data." (They're all said to be excellent, particularly Wooldridge is popular.) "Nonparametric Econometrics" is covered in the book of that title by Pagan / Ullah.