Graduate Text Books. 
Textbooks are primarily used in the first year of a PhD program. Secondyear readings are typically journal articles.
Publication year given is that for the last print or reprint of the most
uptodate edition.
For books marked with a ☼,
(legal) international editions are sold in some countries (e.g. Singapore),
often at a fraction of the U.S. price.
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Microeconomics Mathematical Economics Macroeconomics Econometrics
Microeconomics 
MasColell / Whinston /
Green “Microeconomic Theory” (Oxford, 1e: 1995) ☼ Reny / Jehle “Advanced
Microeconomic Theory” (AddisonWesley, 2e: 2000) ☼ Varian “Microeconomic
Analysis” (W.W. Norton, 3e: 1992) ☼ One of the best things to read in preparation for firstyear 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  longwinded  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) Simon / Blume “Mathematics
for Economists” (W.W. Norton, 1e: 1994) ☼ Sundaram “A
First Course in Optimization Theory” (Cambridge, 1e: 1996) 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 wellwritten set of appendices. A little book of pure math that squeezes all the best definitions and proofs into a pocketsized 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) Ljungqvist / Sargent “Recursive
Macroeconomic Theory” (MIT, 1e: 2000) Romer “Advanced
Macroeconomics” (McGrawHill, 2e: 2001) ☼ There are many approaches to teaching firstyear 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. Chicagoschoolers swear by Stokey / Lucas / Prescott's “Recursive Methods in Economic Dynamics,” a detailed exposition of dynamic programming theory and a secondterm / secondyear mustread for macroeconomists. Now there's a solution manual (Irigoyen et al.)  you'll probably need it. For growth theory, the standard source is Barro / SalaiMartin’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) ☼ Greene “Econometric
Analysis” (Prentice Hall, 4e: 1999) ☼ Hayashi “Econometrics”
(Princeton, 1e: 2000) ☼ Hogg / Craig “Introduction
to Mathematical Statistics” (Prentice Hall, 5e: 1994) ☼ Ruud “An Introduction
to Classical Econometric Theory” (Oxford, 1e: 2000) 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 higherpitched, wellregarded probability text that also develops measure theory. Shiryayev's "Probability" is its equally admired competitor. (But both are difficult books if you're not welltrained 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 “LimitedDependent 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.

