http://www.econphd.net/notes.htm
Probability and mathematical statistics: Herman Bierens (Penn State), Introduction to the Mathematical and Statistical Foundations of Econometrics Graham Brightwell (LSE), Probability for Finance and Economics Charles Grinstead (Swarthmore) / Laurie Snell (Dartmouth), Introduction to Probability (large file) Daniel McFadden (Berkeley), Statistical Tools John Stensby (U Alabama, Huntsville), Random Signals and Noise S.R.S. Varadhan (NYU), Probability Theory, Statistics, Stochastic Processes Econometrics (general): Herman Bierens (Penn State), Econometrics Lecture Notes Erik Biorn (Oslo), Econometrics - Advanced Michael Creel (Barcelona), Graduate Economics Lecture Notes (large file) Bruce Hansen (Wisconsin), Econometrics Daniel McFadden (Berkeley), Econometrics D.S.G. Pollock (Queen Mary College, University of London), Introductory Econometrics Paul Söderlind (St. Gallen, Switzerland), Lecture Notes for Econometrics Macroeconometrics (time series): John Cochrane (Chicago), Time Series for Macroeconomics and Finance D.S.G. Pollock (Queen Mary College, University of London), The Methods of Time Series Analysis A.W. van der Vaart (Vrije Universiteit Amsterdam), Time Series (large file)
Microeconometrics: Alan Duncan (Nottingham), Cross-Sectional and Panel Data Econometrics Stepan Jurajda (Charles University, Czech Republic), Econometrics of Panel Data and Limited Dependent Variable Models M. Weeks (Cambridge), Advanced Econometrics: Microeconometrics
Other topics: Handbook of Econometrics (encycopedic collection of surveys, vols. 1 to 4 available in full text) Paul Söderlind (St. Gallen, Switzerland), Lecture Notes in Financial Econometrics (financial econometrics) Steven Shreve (Carnegie Mellon), Stochastic Calculus and Finance (stochastic processes for finance) Edward Wegman (George Mason U), Time Series Analysis (large file) (statistical time series)
Matlab: Paul Fackler's Matlab Primer at North Carolina State Kermit Sigmon's Matlab Primer at UCSD Matlab 5.2 Manual at Rice
Gauss: Mark Watson's GAUSS Basics at Princeton Felix Ritchie's Guide to Programming in GAUSS at Trig Consulting GAUSS 5.0 User Guide at Aptech
Stata: Robert Yaffee's Getting Started with STATA for MS Windows: A Brief Introduction at NYU STATA Tutorial at Princeton
LaTex: Peter Flynn's A Beginner's Introduction to Typesetting with LaTex at Silmaril Consultants Victor Eijckhout's TeX by Topic at University of Tennessee