Free econometrics textbooks Are there any free econometrics textbooks available online for individual use? 
I'm aware of Bruce Hansen's first year PhD Econometrics textbook, but I'd be interested to hear if there are any other such resources.
Note: 
This question is similar to an existing CV question, but I'm specifically asking for references that would be useful to econometricians and students of economics. 
 A: Hyndman and Athanasopoulos. Forecasting: principles and practice, OTexts
is an introductory textbook on forecasting covering prediction using regression models and forecasting with univariate time series models such as ETS and ARIMA.
A: Graeme, I think Hansen is the best reference in that category; it is clearly and rigorously written.
Imbens and Wooldridge produced a nice NBER summer course, see here (with video). It assumes some knowledge of basic econometrics, which you probably have already. They more or less repeated it at the UK Centre for Microdata Methods and Practice. The latter lectures are available at 
 for(k=1;k<=18;k++) {
    http://www.cemmap.ac.uk/resources/imbens_wooldridge/lecture_k.pdf
 }

They both are good teachers, this is a good set of materials to go through.
I have a book on econometric analysis using Stata in RePEc in open access, but it is in Russian :).
A: Econometrics by Michael Creel is a project to develop a document for teaching graduate econometrics that is "open source", specifically, licensed as GNU GPL.
About the book:

This document integrates lecture notes for a one year graduate level
  course with computer programs that illustrate and apply the methods
  that are studied. The immediate availability of executable (and
  modifiable) example programs (written using the GNU/Octave language)
  when using the PDF version of the document is a distinguishing feature
  of these notes. If printed, the document is a somewhat terse
  approximation to a textbook.

From the Author's webpage (accessed 21 June 2013):

You may be wondering why the notes are available in this form. It's
  simply because I use a lot of free software, and this is a means of
  contributing back to the community.

A: It is worth throwing into the mix that Greene (5th edition) is free online for self-study. Wonderful resource: 
https://spu.fem.uniag.sk/cvicenia/ksov/obtulovic/Mana%C5%BE.%20%C5%A1tatistika%20a%20ekonometria/EconometricsGREENE.pdf
