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- Greene, W. H. (2012). Econometric Analysis, 7th Edition. Prentice Hall, Upper Saddle River. (chapters 7–11, 13,14,17–21)
- Davidson, R., & MacKinnon, J. G. (2004). Econometric theory and methods. New York: Oxford University Press. (chapters 6–15)
- Wooldridge, J. M. (2015). Introductory econometrics: A modern approach, 6e. Cengage Learning.
- Zivot, E., & Wang, J. (2006). Modelling Financial Time Series with S-PLUS, Second Edition. Springer-Verlag New York. (chapters 11 and 12)
- Hušek, R. (2007). Ekonometrická analýza. Oeconomica, Praha (in Czech language)
- James, G. et al., An Introduction to Statistical Learning).
- Hastie, T. et al., The Elements of Statistical Learning.
- Undergraduate and graduate materials by Ben Lambert
- An Introduction to Statistical Learning on-line course - videos